As AQR sees it, computer-driven funds are just scapegoats in a doomed quest to explain jarring market movements. Topping the enemies list is JPMorgan Chase & Co.’s Kolanovic, viewed by many as a gnomic visionary after calling an equity rout in the summer of 2015, blaming forced selling by automated funds.
Wall Street’s Most Famous Quants Fed Up With JPMorgan Soothsayer – (Bloomberg)
CTAs want to trade all the markets, and they set their portfolio up so that they can have maximum diversification in the currencies, commodities, and interest rates and the sort of risk per market, per sector strategy, basing your position size on the volatility, inverse to the volatility.
Episode #35: Jerry Parker, “To Me It Just Boiled Down To One Question… Will The Big Winners Pay For The Small Losses?” – (Meb Faber Research)
In effect, that means he will not personally trade other people’s money in the futures industry, except for smaller trades under certain threshold limits. Mr. Corzine, in theory, could still operate a hedge fund that does futures trading, and he could trade for his own account. The settlement also does not prevent him from trading in other markets.
Corzine Reaches $5 Million Settlement With Regulators in MF Global Case – (New York Times)
In other words, on average, the strategies that we track are currently nearly half allocated to some flavor of US equities. Conversely, allocation to US Treasuries is at a sample low of 17%.
Tactical Asset Allocation in December – (Allocate Smartly)
Trump’s success, in other words, depends on what the dollar does. And right now, it’s freakishly strong, having risen 25% against its major trade partners’ currencies since mid-2014.
The US dollar is the strongest it’s been since 1986 – (Quartz)
And the problem with trying to predict when these things will happen, why they’ll happen or how far they’ll go is because of that human element.
How Market Crashes Happen – (A Wealth of Common Sense)
