why the risk parity portfolio provided lower return at higher risk during the GFC

5 GFC return (Q) 3 volatilities (Q) return (A) volatilities (A) | VaR at 9%% 2 sharpe ratio CA 0. 313% 2. 111% 1. 251% 4. 222% -2. 486% 0. 296 MV 0. 124% 1. 920% 0. 496% 3. 840% -2. 524% 0. 129 MD 0.428% 0. 501% 1. 714% 1. 001% -0. 259% 1. 711 RP 0.047% 2. 454% 0. 188% 4. 909% -3. 348% 0.038 return risk FIS 50:50 0.560% 0. 181% EQUITIES 25:25:51 0.614% 3. 006% COMMODITY -0. 760% 3. 386% HEDGE FUND 0. 736% 1. 203% PE&VC 50:50 0. 241% 1.877% US REIT -0.668% 3. 744%