Limited congruence on risk-parity benchmarks

Risk-parity benchmarks and returns for select public pension funds as of June 30, 2017.
 Risk-parity portfolio returns
FundBenchmarkRisk-parity assets (millions)QuarterOne yearThree yearsFive years
Indiana Public60% MSCI ACWI IMI (equities, net); 40% Bloomberg Barclays Global Aggregate Bond$2,915 N/A4.6%1.0%3.7%
Louisiana State EmployeesDoes not use a risk-parity index$739 0.7%5.4%1.6%3.5%
New Mexico Educational60% MSCI World (gross); 40% Citigroup World Bond; GAA/Risk Parity custom $629 1.0%4.4%2.8%N/A
Ohio Public EmployeesFund-weighted composite of individual risk-parity manager returns$3,936 1.5%7.2%1.2%N/A
Pennsylvania Public School Employees50% MSCI ACWI (net); 75% Bloomberg Barclays U.S. Treasury Total Return; 55% Bloomberg Barclays World Government Inflation-Linked Bonds ($ hedged); 15% Bloomberg Commodity Total Return; 5% Bloomberg Gold Subindex Total Return; (-100%) three-month LIBOR $4,496 1.1%7.2%2.1%N/A
San Joaquin County EmployeesBoA Merrill Lynch 91-day Treasury Bill + 4%$346 1.2%3.9%0.1%-0.9%
Texas Permanent School Fund60% S&P 500/40% Bloomberg Barclays U.S. Aggregate Bond$2,146 N/A5.7%0.9%3.9%
Teacher Retirement System of Texas Equal-weighted blend of risk-parity strategies$7,089 1.1%7.6%2.5%5.0%
 
HFR's risk-parity indexes
HFR Risk Parity Vol 101.3%5.6%2.6%4.9%
HFR Risk Parity Vol 10 Institutional1.1%5.4%2.9%4.9%
HFR Risk Parity Vol 120.2%2.4%1.2%4.1%
HFR Risk Parity Vol 12 Institutional0.6%5.9%1.8%5.1%
HFR Risk Parity Vol 151.5%5.6%2.2%6.0%
HFR Risk Parity Vol 15 Institutional1.6%7.2%2.4%N/A
Source: Fund documents, HFR

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