“Milk was a bad choice”.
Category: risk parity
Good News: Marko Kolanovic Still Sounds Pretty Bullish
Gandalf. Need more Gandalf.
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.”
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
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
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.”
Guest Post: Axe Would Hate Risk Parity
“And then ask yourself, what have Central Banks being doing since the Great Financial Crisis? Buying bonds (they are also buying some equities, but the vast majority of the purchases have been fixed income). What does that do to volatility? It crushes it. And what does lower fixed income volatility mean for risk parity? They buy more.”
“This Is No Different” From 1987: Is Marko Kolanovic Right?
“When an institution allocates to a momentum strategy in the hope of cushioning itself from stock market downdraughts it is really commissioning someone to sell stocks on its behalf into a falling market.”
Chart Check: “Trouble”
So earlier today in “To ‘Tantrum’ Or Not To ‘Tantrum’, That Is The Question,” I
“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
Here Comes The Next “Tantrum”
I’m always warning about VaR shocks. More specifically, I like to remind investors that in
Heisenberg Challenge: To “Hedge” Or Not To “Hedge”
Submitted for your approval: an amusing comparison.
Top Strategist: Macro Is Running The Show And You “Should Not Be Surprised”
“Investing is macro and macro is geopolitics. If you don’t get that, you’re going to be perpetually behind the curve going forward.
Ray Dalio: “Populism Scares Me”
Anyway, it’s not populism that should “scare” Dalio, it’s the possibility that stock/bond return correlations flip positive and stay there during some kind of nightmarish VaR shock that sees 10s at 3.5%+.
Reflation Nation: “Righting” The Wrongs With A Single, Enduring Populist Push
Do you believe in miracles? Apparently somebody does, which is why we’re seeing record after
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