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Category: risk parity

Bridgewater ‘Tweaks’ Risk Parity Model, Moves Into Gold As Bonds Get More Risky

September 2, 2020September 2, 2020

“Is risk parity dead?” probably isn’t the right question. In the same vein, “the end

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16 Comments on Bridgewater ‘Tweaks’ Risk Parity Model, Moves Into Gold As Bonds Get More Risky

Are 60:40 And Risk Parity Funds Doomed? (And The Two Weeks Gold Bulls Like To Forget)

August 1, 2020August 1, 2020

Are 60:40 and risk parity funds “doomed”? It’s a question worth considering in a world

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9 Comments on Are 60:40 And Risk Parity Funds Doomed? (And The Two Weeks Gold Bulls Like To Forget)

March Madness: How The Treasury Market Blew Up

April 5, 2020November 22, 2020

Over the past several weeks, central banks globally have been keen to emphasize the extent

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China’s $941 Billion Wealth Fund Cut Risk Parity Assets In Half Days Before Rout Worsened: Report

March 25, 2020March 26, 2020

Good timing.

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3 Comments on China’s $941 Billion Wealth Fund Cut Risk Parity Assets In Half Days Before Rout Worsened: Report

As Virus Deaths Climb, Equity Positioning Drops To All-Time Low. Cue Helicopter Money

March 21, 2020March 21, 2020

“The package is coming in at about 10% of GDP. It’s very large”.

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5 Comments on As Virus Deaths Climb, Equity Positioning Drops To All-Time Low. Cue Helicopter Money

Gamma Drop-Off Offers Hope, But Now We Know: The Babadook Is Real

March 19, 2020March 19, 2020

You can’t get rid of the Babadook.

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5 Comments on Gamma Drop-Off Offers Hope, But Now We Know: The Babadook Is Real

‘When Risk Parity Goes Wrong’ And The Coming ‘New World Order’

March 18, 2020March 18, 2020

“I believe that investors are realizing that, in fact, this dual ‘Left Tail’ is now clearly about to dictate a ‘new world order'”.

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2 Comments on ‘When Risk Parity Goes Wrong’ And The Coming ‘New World Order’

The Biggest VaR Shock Since Lehman & The Risk Parity Panic

March 16, 2020March 17, 2020

Any takers?

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10 Comments on The Biggest VaR Shock Since Lehman & The Risk Parity Panic

‘We’re Living In A Black Swan Scenario’: Equity Positioning Just Plunged To GFC Lows

March 14, 2020March 15, 2020

There have only been two other periods characterized by these kinds of wild swings: The GFC and the Depression.

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18 Comments on ‘We’re Living In A Black Swan Scenario’: Equity Positioning Just Plunged To GFC Lows

QE Has Returned. And The Risk Parity Kraken Has Been Unleashed.

March 13, 2020March 13, 2020

The drama continues.

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1 Comment on QE Has Returned. And The Risk Parity Kraken Has Been Unleashed.

1987

March 12, 2020October 14, 2021

It looks as though it’s time to finally exorcise all our post-crisis demons. 

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11 Comments on 1987

Risk Parity As The ‘Real Winner’ Of 2019 (And A Snapshot Of One Bank’s 2020 Asset Allocation)

November 30, 2019December 1, 2019

Oh, and they’re still OW cash.

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Oh Well, There’s Always Crypto…

May 13, 2019

“…at least optically.”

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Nomura’s McElligott: ‘Carry Mania’ Is Back As Central Bank Vol. Suppression Returns ‘With A Vengeance’

April 2, 2019April 2, 2019

“It all comes down to the renewed ‘Carry is King’ worldview in light of central banks being scared of their own shadows.”

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‘Boom!’ Nomura’s McElligott Talks Possible Breakdown In ‘Bond Love Affair’ Ahead Of ‘Ides of March’ Risk For Stocks

March 1, 2019March 1, 2019

“… it sets up a dangerous dynamic where ‘late-comers’ are forced-in.””

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6 Comments on ‘Boom!’ Nomura’s McElligott Talks Possible Breakdown In ‘Bond Love Affair’ Ahead Of ‘Ides of March’ Risk For Stocks

Like Hannibal Smith, Nomura’s Charlie McElligott ‘Loves It When A Plan Comes Together’

February 27, 2019February 27, 2019

Fresh off Tuesday’s sweeping assessment…

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1 Comment on Like Hannibal Smith, Nomura’s Charlie McElligott ‘Loves It When A Plan Comes Together’

Nomura’s McElligott Delivers ‘Hugely Important’ CTA Update, Is Happy Bridgewater’s Jensen Confirmed Recent Risk Parity Musings

January 24, 2019

Guess what, sports fans?

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3 Comments on Nomura’s McElligott Delivers ‘Hugely Important’ CTA Update, Is Happy Bridgewater’s Jensen Confirmed Recent Risk Parity Musings

Amid The Volatility, Here’s The Latest From Marko Kolanovic, Goldman On Systematic Flows And Liquidity Provision

January 5, 2019January 6, 2019

The phenomenon is not only real, but in fact pervasive. There are, of course, caveats…

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14 Comments on Amid The Volatility, Here’s The Latest From Marko Kolanovic, Goldman On Systematic Flows And Liquidity Provision

As Chanos Warns On ‘Fragility’, Goldman Tells You Where The Tail Risks Are

December 14, 2018December 14, 2018

Putting some nuance on Jim’s “fragility” warning and “chasing tail” with Goldman.

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2 Comments on As Chanos Warns On ‘Fragility’, Goldman Tells You Where The Tail Risks Are

‘Sad Nonsense’: A ‘Whodunit?’ Guide To Tuesday’s Wall Street Mayhem

December 5, 2018December 5, 2018

Line up the usual suspects.

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hedge funds2 Comments on ‘Sad Nonsense’: A ‘Whodunit?’ Guide To Tuesday’s Wall Street Mayhem

Why We’re ‘More Vulnerable Now’: Modern Market Structure Meets Low ‘Ammo’

November 11, 2018

Fragility and a lack of policy breathing room.

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7 Comments on Why We’re ‘More Vulnerable Now’: Modern Market Structure Meets Low ‘Ammo’

The Usual Suspects And A Theory On Global Macro Funds

October 16, 2018

Selloffs following record highs should probably be viewed as some semblance of cathartic, but that’s not the way people think about things in the post-crisis world.

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hedge fundsLeave a Comment on The Usual Suspects And A Theory On Global Macro Funds

‘Rolling Minsky Moments’ And ‘Pseudo-Stability’: Revisiting The Avalanche

October 14, 2018November 19, 2020

On Thursday morning, following the systematic unwind that precipitated the worst day for U.S. stocks

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‘Stability Breeds Instability’: How The Robots ‘Behaved’ During Wednesday’s Selloff

October 11, 2018

Forced deleveraging.

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1 Comment on ‘Stability Breeds Instability’: How The Robots ‘Behaved’ During Wednesday’s Selloff

January All Over Again?

September 17, 2018

Back to the “melt-up”.

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hedge funds1 Comment on January All Over Again?

Nomura’s Charlie McElligott Outlines The ‘Two-Speed’ Research Thesis For A ‘Vol-Centric World’

September 16, 2018September 16, 2018

“The changes, the inflections that are made happen unemotionally and happen with significant leverage behind them.”

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Retail Investors Turn Net Sellers Of Global Stocks For First Time Since October 2016

July 23, 2018

Half full, or half empty?

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hedge fundsLeave a Comment on Retail Investors Turn Net Sellers Of Global Stocks For First Time Since October 2016

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Monthly Letter+

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