I haven't followed Hedgefundie's thread too closely, and I hope he will speak for himself here, but I assume that the whole reason he's doing it himself is that he is not
impressed with any existing risk parity mutual fund.
It isn't really sensible to draw any
conclusions about a fund that's so new.
It has been a bad year for risk parity strategies, so bad that existing risk parity funds are changing their names and dropping out, but it has been worse for Wealthfront's fund, WFRPX.
For the Wealthfront fund, WFRPX (blue on the chart), the performance since inception, 1/22/2018, is easy enough to find. $10,000 invested in it an inception would now be $9,117.25. In addition to losing money, it has also underperformed the Morningstar category average (orange) and the benchmark, chosen by Morningstar (green); not clear to me if they are appropriate comparisons, but they're what Morningstar chose.
Since 1/22/2018, the AQR Risk Parity Fund (purple) has also lost money--but nevertheless outperformed the Wealthfront fund
. However, it is no longer the "AQR Risk Parity Fund," it's now the "AQR Multi-Asset Fund." I don't know if it's changed its strategy.
The former Salient Risk Parity Fund, SRPAX, has changed its name and strategy to "Salient Adaptive Growth Fund," and the Morningstar chart just kind of cuts off in midflight (yellow on the chart) But at the point where it peters out, it was outperforming the Wealthfront fund
Putnam PanAgora Risk Parity Fund, PPRPX, is not showing for me on Morningstar, I don't know why, but according to Putnam's website
, it has only a minuscule asset value of $31.37 m
illion. $10,000 invested in it at inception would have grown to $10,127. $10,000 invested in it on 01/22/2018 would now be $10,000 x $10,127/$10,343 = $9,791. So, since inception it's earned less than a bank account; since 1/22/2018, it's lost money, but it has outperformed WFRPX.
The term "Risk parity" was coined by Ray Dalio to describe the strategy he uses in his hedge fund, the "All-Weather Portfolio." There is an ETF-based strategy, popularized by Tony Robbins, that is named the "All-Seasons Portfolio," which was blessed by Ray Dalio. It's a long-only strategy so it's not clear how much it resembles "risk parity," but, in any case, from 1/2018, a $10,000 investment in it managed to grow to $10,019, and thus it, too, has outperformed the Wealthfront fund.
Portfolio 1, blue: Wealthfront Risk Parity, WFRPX
Portfolio 2, red: Tony Robbins/Ray Dalio "All Weather" ETF-based portfolio
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.