Profile image
By silveristhenew (Reporter)
Contributor profile | More stories
Story Views

Now:
Last Hour:
Last 24 Hours:
Total:

JPM’s Kolanovic: Volatility Is About To Return, Could Lead To “Accidents”

Thursday, February 16, 2017 16:44
% of readers think this story is Fact. Add your two cents.

(Before It's News)

zerohedge.com / by Tyler Durden / Feb 16, 2017 12:03 PM

Last September, JPM’s Quant guru Marko Kolanovic forecasted a short-term increase of market volatility and equity outflows at a time when volatility was “unsustainably low”, and pointed to catalysts that would trigger de-risking by systematic investors. In a just released note, he warns that “a similar set-up is developing now, this time driven by extremely low levels of market correlations.

First question: what has driven the recent collapse in vol?

The JPM quant answers that one of the main drivers of the recent collapse of volatility (and hence high leverage of systematic and fundamental investors) is the record decline in market correlations. Not just that the sector, stock, and country correlations are at all-time lows, but the recent change (drop) is the largest on record.

Next question: what has led to this decline in correlation, and a follow up: is this a sign of more calm, fundamentally driven markets ahead or just a temporary dislocation?

READ MORE

The post JPM’s Kolanovic: Volatility Is About To Return, Could Lead To “Accidents” appeared first on Silver For The People.



Source: http://silveristhenew.com/2017/02/16/jpms-kolanovic-volatility-is-about-to-return-could-lead-to-accidents/

Report abuse

Comments

Your Comments
Question   Razz  Sad   Evil  Exclaim  Smile  Redface  Biggrin  Surprised  Eek   Confused   Cool  LOL   Mad   Twisted  Rolleyes   Wink  Idea  Arrow  Neutral  Cry   Mr. Green

Top Stories
Recent Stories
 

Featured

 

Top Global

 

Top Alternative

 

Register

Newsletter

Email this story
Email this story

If you really want to ban this commenter, please write down the reason:

If you really want to disable all recommended stories, click on OK button. After that, you will be redirect to your options page.