Download Methodology of CSI Multi Asset Risk Parity Index

Methodology of CSI Multi Asset Risk Parity Index
CSI Multi Asset Risk Parity Index is composed of Equity, Bond and Gold asset，
and each asset has equal risk contribution to portfolio. The index provides the
diversification investment tools for institutional investors asset allocation.
1. Index Name and Code



Index Name: CSI Multi Asset Risk Parity Index
Shortened Name: CSI MARP
Index Code: 930929
2. Base Date and Base Index
The base date of CSI Multi Asset Risk Parity Index is December 31, 2007. The
base index is 1000.
3. Index Constituent Weightings
3.1 Index Universe
The index is comprised of three kinds of assets : A-Shares, Bond and gold. Each
asset is represented by one or two corresponding sub-class asset index. At the close
of any trading day, the sub-class indices and their weights are shown below:
Asset Class
A-Shares
Bond
Gold
Sub-Class Index
CSI 300 Index
CSI 500 Index
CSI Medium Term
Treasury Note Index
CSI Medium Term
Enterprise Bond Index
Gold ETF
Index(ETF) Code
000300
000905
Weight
Wt1
Wt2
H11017
Wt3
H11074
Wt4
518880
Wt5
3.2 Constituent weights calculation
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（1）Index objective
The index objective is to find a risk balanced allocation such that the risk
contribution of each asset is equal. For any i or j,
RC i =RC j
Where
RC i is risk contribution of the ith asset, RC i =x i   x  =x i
x i
 x 
x x
  x  is the volatility of risk parity portfolio，   x  = x '  x
i
'
；
x i is the weight of the ith risk parity portfolio；
x is the vector composed of all the weights

is the covariance matrix of the risk parity portfolio.
The covariance matrix is calculated by use of recent 12-month daily price return.
（2）Constraints


Weight of each constituent is strictly positive, the max bound is 1.
Cumulated weights of all the constituents must be equal to 1
4. Index Calculation
CSI Multi Asset Risk Parity Index is calculated using the following formula :
1  Sub  Class Re turnRate  
i
t0 ,t
5. Constituents Adjustment
CSI Multi Asset Risk Parity Index will be rebalanced quarterly. The constituents
and weight adjustment are implemented after market close on the second Friday of
March, June ,September and December. Temporary adjustment can be made under
certain circumstances if necessary.
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