Volatility Targeting: CTAs Deliver Amid Outburst; But Will The Strategy Endure?

Just days after JPMorgan’s closely followed Global Head of Derivatives and Quantiative Strategies, Marko Kolanovic, released a revised strategy note last week that says the quantitative selling of stocks is only half over, a new note from another analyst at the bank says that many CTA trend following strategies sold ahead of the August stock market rout. As concerns regarding robotic market disruptions spread from China to the U.S., the question of CTA trend followers engaging in some rather “unorthodox” strategy deviations vex those with insight into algorithmic trading techniques. [dalio] Marko Kolanovic’s new strategy note notes that volatility targeting…