Such a great listen. Did he recommend FX hedging when rolling foreign bond futures or not? He seemed at first to say no but then went on and on saying you should hedge some amount of fx to take vol from it out of the portfolio.
Pretty insightful. Wonder what kind of performance all these risk-parity approaches had in 2023. AQR risk-parity ETF is down modestly (something like 5%) which is impressive given the large bond position, but wander if this is representative of the whole space.
Great podcast- really enjoyed this format. Extremely informative particularly with Rodrigo’s commentsry
Such a great listen. Did he recommend FX hedging when rolling foreign bond futures or not? He seemed at first to say no but then went on and on saying you should hedge some amount of fx to take vol from it out of the portfolio.
Pretty insightful. Wonder what kind of performance all these risk-parity approaches had in 2023. AQR risk-parity ETF is down modestly (something like 5%) which is impressive given the large bond position, but wander if this is representative of the whole space.
The main thing you're missing here is a 2-5% allocation to bitcoin. It makes all the difference when monetary inflation hits like in 2020.