Adam Parker, Morgan Stanley’s Chief Economist who doesn't like Wall Street sheep and is a skeptic of “smart beta,” looks at an odd algorithmic market environment with quantitative equity strategist Brian Hayes and sees anomalies. But don’t worry, the unusual market behavior isn’t likely to create a reversal… yet.
Adam Parker - Inverse volatility schemes -- selling above mean vol and buying low mean vol is working
In today’s market environment, with stocks having grinded their way higher amid mid-teen volatility, what's working? Parker and Hayes look at factor timing and Setup a free account to get access to this article (no credit card required).Login required to continue reading.
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