Quant Strategies Struggling When Inflation is High

Risk parity has not worked well since the Fed turned hawkish in November, see chart below. Also, quant strategies assuming stable historical relationships are not working very well at the moment simply because they have not seen these levels of inflation before.

Chart showing risk parity strategies have not worked well since the Fed turned hawkish in November
Source: Bloomberg, Apollo Chief Economist (BBG ticker: RPAR US Equity, SPRP10T Index )