Kolanovic Strikes Again, Provides Hedging Instruction To Risk Parity, Vol Targeting Users

For those risk parity and volatility targeting strategies – the subject of somewhat heated debate – Marko Kolanovic, JPMorgan’s much-watched global head of derivative and quantitative strategies, has a message. Listen carefully. Those using strategies that are exposed to sharp "V" up and down moves in the market, the leading critic of such quantitative strategies wants to provide a guiding hand as to how to manage what might be forecast as stiff periods of volatility that might be due to a quantitative unwinding. In an email sent to clients Monday, Kolanovic re-iterated many of his previous points and warned further, providing...