SocGen: Don't Hate the Risk Parity Players, Hate the Game
Popular computer-driven strategies are changing markets
Risk off.
Source: BloombergThis article is for subscribers only.
The power of systematic strategies, particularly those that take their cues from volatility, has become a hot-button issue amid the search to classify the causes of last month's dramatic market selloff.
A report from Société Générale's global quantitative research team, led by Andrew Lapthorne, sheds further light on the influence of such strategies during the recent market downturn.