“I can’t do it. I can’t embrace the machines and the vol selling and the ETF parade and the central bankers’ “communication policy”. So I’m NOT happy. I don’t sleep well. I DON’T trust the Fed, much less love them, and I never will.”
Remember “Investigating The Market’s ‘Nightmare Scenario’”? Of course you don’t. That post is from May and you’ve been drunk slept since then. But it was an important piece. Essentially, it outlined the potential consequences of the feedback loop that’s embedded in markets thanks to the proliferation of VIX ETPs and systematic strats that lever up…
Cliff Asness is a man who is angry today…
“Now, in contrast, we are active traders of the dog and parakeet factors, which are based on hard neo-classical economics married to behavioral finance and machine learning. But the cat factor is just silly.”