Good Morning Everyone, I recently came across a posting on Bridgewater’s site on the concept of Risk Parity. It really fascinated me as it totally reframed the idea of portfolio construction - something that I might even apply in my current role as a wealth manager. My question: Do you have any recommendations on books or publications that explore this topic in more depth? *First Post! 
sounds fancy but is a very simple concept…
I’m a fan of RP because if you assume that risk is priced similarly across assets (I.e sharpe ratios are similar), that correlations are roughly similar, and that your estimates of out/underperformance are no better with some assets than others, it ends up being the optimal portfolio anyway.
In asset allocation Risk Parity tends to do really well in backtests because fixed income tends to get very overweighted relative to anything else. However, the trend in interest rates since 1980 may be accounting for most of that performance, and it seems that interest rates will have to rise at some point going forward.
For single asset class portfolios like equities, it is possible that risk parity has been picking up the low volatility premium rather than being the magic formula for investing.
I tend to prefer it in part because if you are trading (rather than investing), it is (to me) a very sensible way to allocate trade positions that have similar chances of working out or not. Extending this to a portfolio makes sense if you are doing things like tactical allocations or short term opportunistic things.