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Marko Kolanovic Again Warns Of Potential ‘Crash’ In Low Volatility Stocks, Flags Massive CTA Commodity Short
JPMorgan's Marko Kolanovic on Monday reiterated his contention that the bubble in low volatility stocks has likely burst or, at the least, is on the verge of doing so.
As bond yields declined over the post-crisis period and central banks persisted in accommodation, investors crowded into bond proxies. As Marko puts it in his latest, "low volatility crowding turned the conventional economics upside down: instead of high-risk stocks leading to higher returns, low-risk stocks consistently produced
Question for the enlightened readership (or authorship). Does anyone have a reliable definition of value and low-volatility, or failing that, do we know what definitions Kolanovic uses in his analysis? When I look at the value and low-volatility ETFs for US large caps , the holdings seem to vary within each of those categories quite markedly.