A Credit Suisse report notes the most disconcerting aspect of the recent market turmoil is not the size of the decline – “size doesn’t matter” – but rather it’s the viciousness of the intraday market reversals, the volatility that seems to turn on a dime, that is the issue. As Credit Suisse’s Ed Tom scans the likely suspects, he asks the question in a September 10 report: “Is Risk Parity Deleveraging Driving Market Reversals?” [dalio] Risk parity measured using long term metrics, reduces volatility by selling leveraged equities The goal of risk parity is to position the portfolio to capture…
Credit Suisse Terms High Risk Parity Impact Numbers As “Doomsday Scenario,” Points To Lower Estimates
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.