Good News: Marko Kolanovic Still Sounds Pretty Bullish

Gandalf. Need more Gandalf.


Marko Kolanovic Is Back: ‘Systematic De-Leveraging Is Behind Us’, Markets To Rally

All clear!

Quant Crash: Human-Robot Blame Game Escalates As CTA, Risk Parity Scapegoating Reaches Fever Pitch

To fear them or not to fear them?

How Much Did CTAs And Risk Parity Sell During The Friday-Monday Bloodbath?

There are lingering questions.

This Has Only Happened To 60/40 Portfolios And Risk Parity 5 Times In 27 Years…

What does it mean to be “diversified” when everything is expensive?

Nightmare: Goldman Explains How VIX ETPs Activated The Doom Loop On Monday

“Come play with us Danny”…

Commodus And The Tantrum Tail Risk

Those are the dominoes. Don’t tip one.

Nobody Worry, Because The Dallas Fed Has Its Eye On ‘These So-Called Risk Parity Funds’

“And I’ve learned when they do build, they can build very quickly, so we have to be very vigilant about this.”

‘And Yet Here He Is, Laying It All Out Again’: Jim Grant Is Bearish On Ray Dalio.

“They are not investing. Yet here he is, laying it all out to the world again – necessarily doing less of his day job than he would otherwise do.”

You Still Have Made a Choice: The 5 Things that Matter

“It may not be optimal to own the most diversified portfolio you can possibly own, because anti-diversifying decisions might, in fact, be worth it. But it is exactly that thought process that must become part of our code as investors. It’s OK to turn down a free lunch, but you’d damn well better know that what you’re going to spend your money on is better.”

‘I Come Back To You Now’: Kolanovic Returns, Everyone Panics

“…at the turn of the tide.”

‘Things Are Starting To Reverse’: Goldman Warns On ‘Shock’ Risk

“Risky assets digested the increase in bond yields only reasonably well – 3-month equity/bond yield correlations stayed positive (Exhibit 3) and credit spreads buffered part of the increases (Exhibit 4). But correlations are starting to reverse.”

‘The Real Fun Is Just Beginning’: Quants Stare Blankly At Worst Losses In 10 Years

It’s been a long time coming, but the week(s) of reckoning have finally come for CTAs and the risk parity crowd. Of course the “serious people” reading this will say the “day of reckoning” bit is hyperbolic. After all, we haven’t seen a sustained vol. spike of the sort that would probably be required to…

The Risk Parity Unwind Is Underway – But One Strategist Says It’s Fine

Given what we’ve seen this week in terms of DM yields spiking and that spilling over into equities, this is probably a good time to remind you that the 800-pound gorilla in the room is risk parity and the potential for a deleveraging episode. As I’ve noted on several previous occasions, the gorilla analogy probably…

Is Risk Parity Deleveraging The Biggest Risk To Markets?

“However, relative to CTAs there is much less transparency on the total size of assets in risk parity and equity vol control strategies let alone the subset of which is completely rules-based.”