Sent: Tuesday, August 9. 2016 3:42:46 PM From: "Ens, Amanda" Subject: RE: GEVI Highlights: Understanding when risk parity risk increases / buy the seasonal oil dip / own NKY calendar call To: "Jeffrey E." <[email protected]> image001. log imaae002.ioq image003.ipq ima ge0_0/W2g image005.png imaoe006.Ong image007.pnq image008.ono image009.0ng image010.PfKI image011.0ng image012.0ng image013.0ng image014.png imacie015.ong image016.png image017.0rxj image018.png image019.ong Of course From: jeffrey E. [mailto:[email protected]] Sent: Tuesday, August 09, 2016 11:42 AM To: Ens, Amanda Subject: Re: GEVI Highlights: Understanding when risk parity risk increases / buy the seasonal oil dip / own NKY calendar call Take me off wide email On Tuesday, 9 August 2016, Ens, Amanda < wrote: Highlights from this week's Global Equity Volatility Insights US: Quantifying the (bond-equity correlation) risks to risk parity • Last week's sharp sell-off in JGBs renewed fears of forced selling by risk parity funds (Chart • While the drawdowns in US Treasuries, US equities, and ultimately risk parity portfolios were small and short-lived [Chart 21, the latent risk remains worth monitoring, as o (i) leverage is still near max levels across a variety of risk parity parametrizations [Chart 31, o (ii) bond allocations arc historically elevated, and EFTA_R1_00024948 EFTA01737917