Is All-Weather Strategy Underperformed During COVID-19? An Evidence from US’s Etfs Market

DOI

10.2991/assehr.k.211209.305How to use a DOI?

Keywords

All-weather portfolio; Risk parity strategy; Capital market; financial crisis

Abstract

In 2008, Bridgewater’s all-weather strategy overperformed the market. Dario, founder of Bridgewater, and his team pioneered the all-weather strategy in 1996, and it’s been a huge success in practice. However, according to the daily report of bridgewater associate on March 18th 2020, the all-weather portfolio suffered great losses. The all-weather strategy is based on the idea of risk parity. This paper aims to discuss the possible reason for the massive losses that all-weather funds have suffered during pandemic.The conclusion is that the all-weather performed not ideally in 2020 due to its intrinsic characteristics—risk parity and the worsen economic environment resulted from the breakout of COVID-19. The popularity of this tragedy as well as the widely used leverage in all-weather strategy also aggravated the already severe situation.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Feitong Shan
PY  - 2021
DA  - 2021/12/15
TI  - Is All-Weather Strategy Underperformed During COVID-19? An Evidence from US’s Etfs Market
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1875
EP  - 1879
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.305
DO  - 10.2991/assehr.k.211209.305
ID  - Shan2021
ER  -