Förbättrar risk-paritet portföljavkastningen? Evidens från svenska investmentbolag

This thesis investigates whether a zero-leverage, equal-volatility risk-parity weighting strategy improves the performance of some of the most prominent publicly listed Swedish investment companies; Investor, Industrivärden, Kinnevik, Bure, Creades, Öresund, Svolder, Latour, Lundberg, and Traction. For each firm, two daily-return portfolios are constructed for the period 2003-2025; the Actual portfolio, based on the holdings disclosed each month-end, and a hypothetical Risk-Parity portfolio, where weights are inversely proportional to each asset’s trailing 252-day volatility. The mean log-return differences and annualised Sharpe ratio differences are tested using a studentised circular-block bootstrap calibrated with a DCC-GARCH simulation, and Romano-Wolf step-down procedure to control family-wise error rates. The risk-parity strategy increases raw returns for eight of the ten firms (median improvement of +2.2 percentage points per annum) and reduces volatility for nine (median decrease of -2.5 percentage points). However, only 3 Sharpe ratio differences are significant, and after accounting for multiple testing leaves none statistically significant. Robustness checks confirm the baseline findings, while a liquidity-induced volatility spike in the Lundberg portfolio illustrates how thinly traded assets can undermine the effectiveness of risk-parity strategies. For investors managing concentrated equity portfolios, the theoretical advantages of equal-volatility allocation are overshadowed by estimation uncertainty, liquidity constraints, and correlation blindness. Consequently, straightforward risk-parity strategies are unlikely to provide enough incremental benefit to justify their implementation in Swedish investment company portfolios. Future research should explore correlation-sensitive risk budgeting, cost-aware rebalancing methodologies, and dynamic volatility forecasting approaches before systematic risk-based rebalancing rules can be recommended in similar investment contexts.