As the liquidity debate continues, AllianceBernstein have published a new paper on the risks "risk parity" trading strategies could pose in the current trading environment. Also, the paper considers how investors can position themselves to manage, or even profit from market volatility that arrives as a result of illiquid markets and forced computer-driven selling.
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The Bond Liquidity Crunch
AllianceBernstein's new paper Playing With Fire: The Bond Liquidity Crunch And What To Do About It, follows on from the firm's 2013 study, An Introduction to Tail Risk Parity: Balancing Risk to Achieve Downside Protection, which was written with the help of Myron Scholes, Nobel Laureate and Frank E. Buck Professor of Finance, Emeritus, Stanford University.
There's one thing that's keeping bond investors awake at night right...
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