Is Risk Parity Deleveraging The Biggest Risk To Markets?

Not too long ago, BofAML called risk parity deleveraging "the one trillion dollar question." It's actually part of a larger question about what would happen if systematic strats were all forced to deleverage at once on a large (and sustained) vol. spike. The CTA component of that equation is to a certain extent quantifiable. Earlier today, we brought you "A Nightmare On Wall Street - Updating The Feedback Doom Loop" in which Deutsche Bank's Rocky Fishman noted that CTAs have continued to incr