## UC Berkeley / Lawrence Berkeley Laboratory

#### Will My Risk Parity Strategy Outperform?

**Lisa Goldberg, UC Berkeley**

##### November 16th, 2011 at 4PM–5PM in 939 Evans Hall [Map]

We gauge the return-generating potential and risk inherent in four investment
strategies: value weighting, a fixed mix, and levered and unlevered risk
parity, over an 85-year horizon. There are three essential conclusions from our
study. First, even over periods lasting decades, the specific start and end
dates of a backtest can have a material effect on the results; second,
transaction costs can negate apparent outperformance; third, statistical
significance of findings needs to be assessed.