‘The Real Fun Is Just Beginning’: Quants Stare Blankly At Worst Losses In 10 Years
It's been a long time coming, but the week(s) of reckoning have finally come for CTAs and the risk parity crowd.
Of course the "serious people" reading this will say the "day of reckoning" bit is hyperbolic.
After all, we haven't seen a sustained vol. spike of the sort that would probably be required to cause a truly painful unwind where "truly painful" means "something people who don't know what CTAs and risk parity are" would notice.
But the important thing about what we've seen over the pa
