Elston launches multi-asset risk parity index

In partnership with Milliman

Tom Eckett
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Henry Cobbe of Elston Partners
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Henry Cobbe of Elston Partners

Investment research boutique Elston Consulting has teamed-up with Milliman Financial Risk Management to launch a multi-asset dynamic risk parity index.

The Elston Strategic Beta Dynamic Risk Parity index tracks 14 ETFs across five asset classes; fixed income, property, gold, UK equities and international equities. Rebalancing monthly, the index is based in sterling and can hold a maximum of 15 ETFs. The index's objective is to offer a multi-asset strategy that is diversified through a rules-based systematic approach. Its differentiator, the firm said, is the strategy will be weighted by the equal contribution to overall risk by each asset class, rather than by asset weights alone. The asset class weights are then dynamically ad...

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