Is “Tantrum” Risk Rising Behind The Scenes?

So this is something that’s worth watching… We’ve said time and again that investors would do well to remember what risk parity knows all too well. Namely that you really, really need a negative stock-bond return correlation when vol spikes and there’s blood in the water in one asset class or the other. Why? Simple:…

Chart Check: “Trouble”

So earlier today in “To ‘Tantrum’ Or Not To ‘Tantrum’, That Is The Question,” I said the following about the juxtaposition between hedge funds’ big Treasury short and still long equity positioning: …if the highly anticipated repricing of yields higher turns out to be …err… higher-er–er than expected, the long equities side of this bet…

“A Glaring Error Of Omission”

  VaR shocks. Taper tantrums. I talk about such things a lot. And with good reason. Investors have a discernible tendency to dismiss discussions of cross-asset correlations as if the subject should be confined to jet propulsion laboratories. All the while, these very same investors fail to see the connection between cross-asset correlations and the…

“JP Merlin” Returns: Quant Wizard Kolanovic Weighs In On Volatility, Geopolitics, And The Fed

He doesn’t have a long, white beard. He doesn’t wear a robe or a pointy hat. And he doesn’t walk with a gnarled, magic staff. But that doesn’t stop us from characterizing JPMorgan’s resident quant wizard Marko Kolanovic as a kind of Gandalf figure. Regular readers know Kolanovic. His star has risen over the past couple…