Reuters with the report, citing a Morgan Stanley said in commentary to institutional clients on Thursday:
- Computer-driven macro hedge fund strategies on Wednesday sold $20 billion in equities
- set to shed at least more $25 billion over the next week
- one of the largest risk-unwinding events in a decade
- "The volatility of the last two weeks started out being very rotational,"
- "But that has now morphed into a broad index deleveraging (on Wednesday)."
- If volatility persists in the coming days, the sell-off would rapidly increase
- An additional 1% day-drop in global equities could spark sales of $35 billion and macro hedge funds could dump up to $110 billion in a 3% day fall
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Keep your eye on JPY, the carry trade deleveraging is a huge driver. 152 now the the level to watch:
