RISK DISTRIBUTION AMONG UNCORRELATED RISK FACTORS: DIVERSIFIED RISK PARITY

Yıl 2022, Cilt: 40 Sayı: 2, 419 - 439, 28.06.2022

Cigdem Yerli Sevtap Kestel

https://doi.org/10.17065/huniibf.880072

Öz

This paper aims to distribute the risk among equity risk, interest rate risk and inflation risk, in a portfolio to prevent a risk concentrated portfolio by employing diversified risk parity (DRP) strategy. Principal component analysis and minimum linear torsion models are used to obtain DRP strategies which are compared with other risk based models and tested on five different asset classes whose prices are collected between January 1988 and December 2017. For attaining a thorough analysis, we include mean-variance optimization whose results are compared with both risk-based and DRP strategies in the out-of-sample testing using Sharpe ratio and uncorrelated risk factors. The results demonstrate that DRP strategies have better performance than other models. Specifically, DRP based on the minimum linear torsion model yields the highest Sharpe and risk diversification ratios. Thus, this strategy may guide the investors to construct risk diversified portfolios, especially, during financial crises.

Anahtar Kelimeler

Diversified risk parity, principal component analysis, minimum linear torsion model, risk diversification, Diversified risk parity, principal component analysis, minimum linear torsion model, risk diversification

İLİŞİKSİZ RİSK FAKTÖRLERİ ARASINDA RİSK DAĞILIMI: ÇEŞİTLENDİRİLMİŞ RİSK PARİTESİ

Öz

Bu makale, risk yoğunlaştırılmış portföy oluşturmayı önlemek için toplam riski “Çeşitlendirilmiş Risk Paritesi” (DRP) kullanarak portföydeki piyasa, faiz ve enflasyon gibi risk faktörleri arasında dağıtmayı amaçlamaktadır. Temel bileşenler analizi ve minimum torsiyon modeli aracılığıyla, beş farklı varlık sınıfının Ocak 1988 ile Aralık 2017 arasındaki aylık fiyatları üzerinde yapılan uygulama ile DRP stratejileri risk bazlı stratejilerle karşılaştırılmaktadır. Kapsamlı bir karşılaştırma için, ortalama varyans optimizasyonunu sonuçları, örneklem dışı testlerde hem risk temelli stratejiler hem de DRP stratejileri Sharpe oranına ve ilintisiz risk faktörlerinin sayısı göstergelerine göre karşılaştırılmıştır. Bu çalışmanın sonuçları, DRP stratejilerinin diğer modellere göre daha iyi performansa ve en yüksek sayıda ilintisiz risk faktörüne sahip olduğunu göstermektedir ve yatırımcıların finansal krizlerde bile risk çeşitlendirilmiş portföyler oluşturmasına yardımcı olacağı belirlenmiştir.

Anahtar Kelimeler

Çeşitlendirilmiş risk paritesi, temel bileşenler analizi, minimum doğrusal torsiyon modeli, risk çeşitlendirme

Kaynakça

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