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I want to be able to price a risk parity index using the following prompt expiry futures contracts available from ECBOT and GLOBEX. Using a synthetic portfolio priced by adding the CASH VALUE of the Ultra-Bond contract and ES.

Then, using the front month contract midpoints, we have

Risk Parity Portfolio = 1000 * UBZ22 + 50 * ESZ22

This is a simple (naive) approximation for a portfolio invested in long dated treasuries and US large cap equities.

So, quants on the stack, give me some simple multipliers or tell me why these weights aren't right for a 60/40 portfolio approximation.

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  • $\begingroup$ Are you trying to replicate Risk Parity or 60/40 ? $\endgroup$
    – nbbo2
    Oct 11, 2022 at 10:50

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