Morgan Stanley Peels Back Algorithmic Market Environments, Determines All Good… For Now

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 smart beta methods that at times can capture unintended…