AlphaSimplex examine how often turbulence is high on both a daily and monthly basis and use a novel method to classify what forces are driving turbulence: magnitude surprises or correlation surprises.
From a trend-following perspective, three new themes have emerged in 2021 as aftermath of the pandemic and as potential trends: inflation, the end of the great bond bull market trend, and value/growth style rotations in equity markets.
AlphaSimplex Group’s Chief Research Strategist analyses realized risk over recent crisis periods in global markets and considers future implications.
Rightly or wrongly, the investor believes there is a link between inflation and more volatility in equity markets. An investor who is concerned over a rising equity risk in his portfolio may opt for an overlay strategy to reduce it, rather than government bonds.