Financial blog Zero Hedge has called it a “mass quant puke” – the type of leverage unwind from systematic funds that many feared would accompany interest rate spikes.
It’s a concern that first took hold in 2013 at the time of the US taper tantrum. And for nearly three years, the pre-puke nausea churned away.
Risk parity was one of the strategies thought to be susceptible – the popular alternative to traditional 60/40 weighted equity/fixed-income portfolios, pioneered by Bridgewater with its Al
The week on Risk.net, July 14–20, 2017Receive this by email