Volatility-Rocked Quants Threaten New $170 Billion Selling Spree
- Vol-control funds and CTAs sharply cut stock exposure
- High volatility may cause more selling from systematic players
This article is for subscribers only.
Systematic funds have offloaded more than $130 billion of global stock bets in recent weeks. Now these rules-based players threaten to take their selling to a whole new level as volatility spikes.
Strategies including risk parity, vol-targeting and trend following will dispose $70 billion to $80 billion of shares Monday, with at least $90 billion more to unwind over the next four sessions, according to estimates from Morgan Stanley’s trading team.