Volatility mean reversion is at play. And it could continue into August, a Bank of America Merrill Lynch report says. Don’t worry about risk parity and volatility targeting programs exacerbating the stock market’s slide in this most recent correction. There are differences between today and the August 2015 stock market sell-off, the report noted. In fact, the weekly S&P e-mini futures volume during August was not as significant as other analysts had estimated, the report stated. [dalio] BAML sees volatility mean reversion Unusually dramatic moves were experienced in several markets as a result of Friday’s Brexit vote. In fact, volatility Friday…
BAML: Risk Parity Didn't Exacerbate Risk
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.