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Joe Mallen, Chief Investment Officer of Helios Quantitative Research, said risk parity strategies in general highlight some of the flaws in backtesting strategies. The funds often look at a long-term relationship between asset classes without understanding that they change over time.

“You can apply correlations all day long to achieve the risk exposure you’re looking for, but at the end of the day they don’t always move in that fashion,” Mr. Mallen told InvestmentNews.

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