Snapshots of Building a Regime-Resilient ERC Portfolio

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that regime parity, which combines regime-specific equal risk contribution (ERC) portfolios in proportion to regime probabilities, improves resilience and risk-adjusted performance by reducing traditional ERC’s hedging-asset bias, with most gains linked to regime-sensitive volatility rather than correlation.