Macro Liquidity Trends: where is going the money?
Risk Parity Attractiveness March Trends Japan and Emerging Equity markets have strong liquidity trends US Equity and Gold have moderate liquidity trends Europe Equity markets are liquidity neutral US Govies 7-10 have a negative liquidity trend Methodology The Macro Liquidity Trends are computed using a Risk Parity Approach which has become more and more popular among Asset Managers and Pension Funds: the risk weighting for each index/asset-class is calculated using the inverse of its historical volatility. Volatilities are estimated based on three months of weekly return data. Risk Parity in the press "The employee pension fund of United Technologies has gradually increased its risk parity-related investments to $1.8bn, or about 8% of its total assets, up from an initial 5% allocation in 2005. At the San Joaquin County Employees' Retirement Association, in Stockton, California, risk parity now amounts to 10% of the ...