Created portfolio with equal risk contribution from 9 sectors in S&P 500. Started at Equal weight algo posted by Jess Stauth -> Min Var algo posted by Grant Kiehne -> Paper by Benjamin Bruder and Theirry Roncalli.
The algo weights the S&P 500 sectors such that the risk contribution from each sector to the portfolio is roughly equal. End result is a portfolio that is fully invested in S&P 500 sectors, but has a lower beta. Over time, it also realized higher returns with this lower beta.
Please let me know if you catch any errors in the code. @Grant, thanks for sharing your code.All errors are my own.
Would be interesting to see if this phenomenon is more widely observed.