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The Market Is Crashing: Is the Bogeyman Risk Parity or CTAs?

Submitted by Peter Tchir of Academy Securities In our family, it was Baba Yaga who was going to “get you” if you weren’t well behaved.  Whether it was the boogeyman, or some other fear that kept you awake at nights, it is time to consider what the next ‘pain trade’ might be.  While the focus has been on Risk Parity or Risk Parity Lite (my personal favorite), what is the next big strategy at risk? Could it be Commodity Trading Advisors (or CTAs)? Salient Risk Parity Index versus Soc Gen CTA Trend Index Since July 2017 These two asset classes were moving somewhat in lock-step for much of the second half of 2017.
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