Interesting note from JPMorgan:
on highlights of a research note from JPMorgan quant Marko Kolanovic.
Zerohedge is reporting
In the just released note, the head JPM quant warns that a large pool of assets controlled by price-insensitive managers including derivatives hedgers, Trend Following strategies (CTAs), Risk Parity portfolios and Volatility Managed strategies, which is programmatically trading equities regardless of underlying fundamentals, is about to start selling equities, "and will negatively affect market in coming days and weeks." For good measure, he casually tosses the word "crash" in the note as well.
He also warns about high volatility continuing around the end of the trading day over the coming days and weeks.
