Loading ...That said, if equities are unable to rally over the next week, the Nomura strategist expects that a “retest of the year lows (2550) is an inevitability as late-comers further capitulate” for two reasons:
- The “80th to 90th %Ile “Gross Exposure Levels” for both Equities Long-Short- and Mutual- Funds are further de-risked by mechanical VaR / risk-management “book down” behavior
- At same time, we would move ever-close to the next wave of Systematic rules-based deleveraging as well with stock momentum collapsing—2631 is the next CTA “sell level” from here to go down to just “14% Long”; as of TODAY, a move and close below 2577 would see the CTA Trend position flip to outright “-100% Max Short”
https://www.zerohedge.com/news/2018-10-26/nomura-beatings-will-not-stop-until-morale-improves