From: "Ens, Amanda" ‹.. > To: "jeffrey E." [email protected]>, Richard Kahn Subject: GEVI Highlights: Understanding when risk parity risk increases! buy the seasonal oil dip own N KY calendar call Date: Tut, 09 Aug 2016 15:11:57 +0000 Attachments: GEVI_08.09.2016.pdf Inline-Images: image° 14pngOID1 FI EIBE73F9FEO.png: image° 5png0 1 D IF 1 BEIE73F9FEO.png; image016png0 ID IF 1 BBE73F9FEO.png; image° 17pngOID1 F I BBF.71F9FEO.png: image° Sjpg0 1 D1F I CC B 1833830.jpg; image019jpg0 IDIFICCBIEt33830.jpg; image020jpg0 ID IF 1CCB 1B33830.jpg: image021 jpg0 1 D IF 'Call 833030.jpg; image004pngOIDIF20E2B2E3EDO.png; image007png0 IDIF20E2B2E3EDO.png; imagc009png01 DI F20E282E3ED0.png; image0 1 png0 ID IF20E282E3EDO.png; image013png0 101 F20E2B2E3EDO.png; image027pngOIDIF20E282E3EDO.png: image001pngOID1 F20E368 6A50.png; image002png0 101 F20E368 16A50.png; image022png0 101 F20E368 1 6A50.png; image023png0 101 F20E368 1 6A50.png; mage024png0 101 F20E368 16A50.png Highlights from this week's Global Equity Volatility Insights US: Quantifying the (bonci•eq any correlation) risks to risk parity • Last week's sharp sell-off inlGlits renewed fears of forced selling by risk parity funds jthart • While the Orawdowm in US TreasurieS,WISAWISS and ultimatehrlilliMirscoonfollatasmithintsbmtalSOChala2) the latent risk remains worth monitoring as ajascecoge is still near max levels, arms% a variety of (Out 5] Jlilbondallocationsarehistoricallyelevated and c;:t_(iji) markets continue to be skeotiral of a 2016 Fed hike • Hence we provide a simple scenario tool to help investors assess what relative moves in bonds & equities could catalyze significant deleveragirjg by rules-based risk parity funstsifti141 • fix example a -2% nay decline in the S&P SOO cougla with a .0 A% fall in toy Treasury pacp_s(000cclivelsificatct0) could trigger a 2S% deleveragiog (fathateyakd notional) today whereas a .4%50X drop and 41% Treasury rally lgood diversification) would g