Sunday, May 24, 2020

As volatility continues to decrease - expect systematic pools of capital to take US equity markets higher


Below a simple realized volatility extrapolation to have an estimation of where realized volatility could be soon. As vol continues to decrease, systematic trend following will increase significantly exposure to equities starting in June.

We shall not forget that these pools of fast moving capital, in aggregate, account for approximately USD 500bn in notional exposure in equity at max risk...



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