We extended risk measure options in risk parity optimizers with new options.

Hierarchical Risk Parity (HRP) optimizer got:

• Mean Absolute Deviation (MAD) - average distance from mean return - this risk measure is less sensitive to outliers than standard deviation
• Semi Standard Deviation - like standard deviation but only for downside volatility
• Maximum Drawdown - pretty self explanatory - largest peak-to-trough decline
• Conditional Drawdown at Risk (CDaR) - average of worst drawdowns, similar to CVaR
• Value at Risk (VaR) - a popular measure of tail losses

Classic Risk Parity optimizer got the same risk measures except for Max Drawdown and VaR.