Analisis Kinerja Portofolio yang Dibentuk dengan Metode Risk Parity

Portfolio strategies have been continuously developed for a better portfolio performance. However, from the risk perspective, the existing strategies have not yet been optimally diversified. A new alternative strategy, risk parity, has been apllied to attest risk; however, the effectiveness of the strategy in Indonesia capital market is still undetermined. Therefore, this research tries to analyze the effectiveness of the strategy by comparing Risk Parity’s performance to 60/40, equally weighted, value weighted and tangency strategy performance. We use the data of LQ45 and Infovesta Government Bond Indonesia (IGBI) from 2006 to 2015. Without calculating rebalancing cost, including dividend and coupon received, and apply leverage, risk parity has relatively higher sharpe ratio than other portfolio strategies. However, based on Jensen’s alpha measurement risk parity is not better than the others.