The "Risk Parity-Negative Gamma-CTA" Feedback Loop

Mar 19th 2020 7:35pm EDT

The “Risk Parity-Negative Gamma-CTA” Feedback Loop Authored by Ryan Fitzmaurice of Rabobank Summary So far 2020 is off to a volatile start with out-sized moves observed across asset-classes. Many, if not all, of today’s prominent strategies utilize a volatility-adjusted position sizing method of some sort Markets have been suffering from feedback loops as volatility driven […]

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