ABSTRACT
Investors tend to ask questions regarding the historical performance of an invest-ment strategy such as risk parity, wanting to know when it might underperform. Unlike scientic ideas or engineering concepts, one cannot conduct lab experiments to prove the validity of an investment strategy. Historical track records and properly conducted simulations, become substitutes for controlled experiments in the lab. Historical lessons, especially those provided by periods of weak performance can help set expectations about an investment strategy and supply ideas for its enhancement.
