Vanishing Vol and Risk-Parity

Wednesday, July 27th, 2016   Categories: , , ,

Following the Fed doesn’t make you money

One of the main reasons for the new high in US equities is the sharp decline in the volatility of their returns compared with those of other asset classes. Any institutional investor with a formal risk-budgeting approach will be forced to allocate more money to them, having not owned them when they were riskier, but cheaper. This looks dangerously like a “buy high, sell low” strategy.

Synopses can be downloaded by subscribers holding a Harlyn All Access Pass
Not a subscriber? PURCHASE ALL ACCESS PASS
Already hold an All Access Pass? LOG IN