{"id":38994,"date":"2018-10-11T07:53:21","date_gmt":"2018-10-11T12:53:21","guid":{"rendered":"http:\/\/olduvai.ca\/?p=38994"},"modified":"2018-10-11T07:53:21","modified_gmt":"2018-10-11T12:53:21","slug":"this-is-becoming-dangerous-morgan-stanley-warns-as-forced-liquidations-loom","status":"publish","type":"post","link":"https:\/\/olduvai.ca\/?p=38994","title":{"rendered":"“This Is Becoming Dangerous” Morgan Stanley Warns, As Forced Liquidations Loom"},"content":{"rendered":"
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“This Is Becoming Dangerous” Morgan Stanley Warns, As Forced Liquidations Loom<\/span><\/a><\/h3>\n<\/div>\n
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Today is adding to the accumulated pain of the last few days for most funds.\u00a0 Momentum has retraced nearly all of its YTD gains and names with high active ownership are underperforming names with high active ownership by 3 standard deviations<\/strong>.<\/p>\n

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This is becoming dangerous because as managers give back P\/L and approach flat on the year a broader de-risking is more likely<\/strong>.\u00a0 While a crude estimate, the below shows rolling returns of reported longs per 13F filings versus the broader market.\u00a0 On the left is the last 2 weeks \u2013 nearly as negative as late July, while on the right is the last 3 months (so combines July and now) \u2013 the worst underperformance since Feb 2016.<\/strong>
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So far the unwinds are rotational, keeping index dispersion in-line with historical averages<\/strong>.\u00a0 Notably most of that dispersion is at the sector level while most single names within sectors are trading together, indicating the pain is in sector\/factor\/thematic trades.<\/p>\n

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But given the overlap of crowded stocks with the market (i.e. Tech = largest sector), the pain is spreading to the index level.\u00a0 And on the back of today\u2019s moves there will now be some systematic supply \u2013 QDS estimates $10 to $15bn total over the next several days.\u00a0 This supply could start to move the volatility from sectors \/ factors into the index level as correlation increases<\/strong>.<\/p>\n

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“This Is Becoming Dangerous” Morgan Stanley Warns, As Forced Liquidations Loom Today is adding to the accumulated pain of the last few days for most funds.\u00a0 Momentum has retraced nearly all of its YTD gains and names with high active ownership are underperforming names with high active ownership by 3 standard deviations. This is becoming […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[2],"tags":[22233,2884,4148,22234,2443,4318],"class_list":["post-38994","post","type-post","status-publish","format-standard","hentry","category-economics","tag-chris-metli","tag-liquidation","tag-market-correction","tag-morgan-stanley-institutional-equities","tag-stock-markets","tag-zerohedge"],"_links":{"self":[{"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/posts\/38994","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/olduvai.ca\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=38994"}],"version-history":[{"count":1,"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/posts\/38994\/revisions"}],"predecessor-version":[{"id":38995,"href":"https:\/\/olduvai.ca\/index.php?rest_route=\/wp\/v2\/posts\/38994\/revisions\/38995"}],"wp:attachment":[{"href":"https:\/\/olduvai.ca\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=38994"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/olduvai.ca\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=38994"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/olduvai.ca\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=38994"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}