Large weightings to fixed income helped LDI and risk-parity portfolios lose the least after dramatic movements in financial markets following the British “yes” vote on the referendum to leave the European Union. A LDI growth portfolio only fell 78 basis points. A risk-parity portfolio as measured by the Salient Risk Parity index, fell 107 basis points. A simple 90/10 or 60/40 portfolio of equities and fixed income and a risk-based growth portfolio had the greatest losses. The 90/10 portfolio fell more than 3%.
