Nomura’s McElligott: Systematic Strategies Helping Drive Rally As CTAs, Vol-Control Mechanically Buy

Nomura’s McElligott: Systematic Strategies Helping Drive Rally As CTAs, Vol-Control Mechanically Buy

"With the simple mathematical reality of realized volatilities over short-term (trailing) windows likely collapsing lower under their own prior weight, it was my expectation that we would see many vol-sensitive systematic strategies either re-leveraging into Equities 'long' exposures (from historically very underweighted starting points) or likely see significant and widespread covering of prior legacy 'shorts'", Nomura's Charlie McElligott writes, in a Monday note marking his return from a tw
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