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“This Is No Different” From 1987: Is Marko Kolanovic Right?
One of the points we've been pretty keen on driving home here over the past couple of months is that the type of programmatic/systematic strats that JPMorgan's quant "wizard" Marko Kolanovic so often warns about might well exacerbate a large drawdown should such an event eventually come calling.
As a reminder, here's what Kolanovic said last month with regard to CTAs and the massive Treasury short:
A closely related technical risk is the potential for an unwind of short bond positions. In the
