BAML: Risk Parity Didn't Exacerbate Risk

Volatility mean reversion is at play. And it could continue into August, a Bank of America Merrill Lynch report says.

Don’t worry about risk parity and volatility targeting programs exacerbating the stock market’s slide in this most recent correction.  There are differences between today and the August 2015 stock market sell-off, the report noted. In fact, the weekly S&P e-mini futures volume during August was not as significant as other analysts had estimated, the report stated.

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BAML sees volatility mean reversion

Unusually dramatic moves were experienced in several markets as a result of Friday's Brexit vote. In fact, volatility Friday was at a higher level than 2008 in many markets. This...