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Some discussion here on whether volatility targeting risk parity strategies using leverage could be blamed for the volatility spike. Conclusion is that it is unlikely and that the (now broken) leveraged short volatility ETFs likely is too blame. 

https://www.marketwatch.com/story/stock-market-investors-weigh-potential-aftershocks-from-volatility-spike-2018-02-08?siteid=yhoof2&yptr=yahoo

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17 hours ago, explo said:

I wonder if my directional hedge fund did this. My broker is reducing its margin. I'm glad I sold more than half of it before it crashed.

I don't really believe this as it would be a true scandal for the fund. More likely it has to do with this:

https://finance.yahoo.com/news/record-23-billion-flees-worlds-033238004.html

The SPDR S&P 500 exchange-traded fund (ticker SPY) suffered a record $23.6 billion in outflows last week amid the worst momentum swing in history for the underlying U.S. equity benchmark.

Outflows amounted to 8 percent of the fund’s total assets at the start of the week, a rate of withdrawals not seen since August 2010. A blowup in volatility-linked products sent markets haywire , eliciting waves of risk aversion from jittery investors.

Strategists at JPMorgan said the swiftness and severity of the positioning unwind is a sign that further selling from the likes of commodity trading advisors and risk parity funds “should be limited from here.”

Both their long position on stock index and their short position on the dollar turned on them last week. It should be called an anti-hedge fund. I will unwind it to the lower target over time and feel really lucky that I've already completed most of that. The risk averse strategies that won't bet on directions should play well together with this sustained direction betting strategy, but its weight need to be limited due to the aggressive strategy. If it has been betting on low volatility I will drop it as that would indicate that the managers' lost their senses in a desperate search for strong trends.

Edited by explo

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On ‎2018‎-‎02‎-‎12 at 11:55 AM, explo said:

Both their long position on stock index and their short position on the dollar turned on them last week.

It seems to have gotten back its footing again. I wonder how many (long <-> short) position flips were triggered (its a completely algorithmic position selector). It's likely better if it did not flip them too much as I suspect this was just a market blip which can be quickly recovered with retained positions.

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On ‎2018‎-‎02‎-‎11 at 12:58 AM, SCSolar said:

I bought Amazon and quickly disposed of it after a 7% drop

It quickly rebounded and looks due for a new high now.

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