Just day’s after Baupost’s Jim Mooney wrote a letter warning of dangerous volatility patterns and risks of systematic strategies such as risk parity exacerbating a S&P 500 sell off, JPMorgan’s derivatives strategist Marko Kolanovic is piling on the issue, one he has long addressed. In a research note out Thursday afternoon, Kolanovic also notes troubling market patterns that point to the tranquil market environment being disrupted by the withdrawal of central bank quantitative dopamine. It all points to volatility concerns amid a market environment beset by historically low volatility. But the news is not all bad, he observes. [dalio] S&P 500…
Kolanovic Warns Of Volatility Ahead
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.
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