Source: S&P Dow Jones Indices
For only 79 basis points annually, is it worth adding the financials in a risk parity weighted index? If cutting your risk by more than half is attractive, then yes. Adding financials in a risk parity index more than tripled the Sharpe Ratio in 10 years, bringing it from 0.19 to 0.60. Further within the managed futures framework, changing the weight to risk parity from 50/50 capital allocations to commodities/financials increased the Sharpe Ratio from 0.18 to 0.60. 
Source: S&P Dow Jones Indices LLC. All information presented prior to the index launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Past performance is not a guarantee of future results. Please see the Performance Disclosure at http://www.spindices.com/regulatory-affairs-disclaimers/ for more information regarding the inherent limitations associated with back-tested performance.
This article was written by Jodie Gunzberg, global head of commodities, S&P Dow Jones Indices.
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