“Stability breeds instability,” was never more evident than in the last two weeks as former “High Sharpe” Momentum- and Carry- trades see waves of risk-management unwind and stop-outs in crowded Risk-Asset trades (SMH -9.3% since Wednesday, TOPIX Banks -11.0% overnight, a -6.5 z-score 1d move 1y rel), building off the back of the FX unwinds felt over the past few weeks as the Yen short-squeeze metastasized around hawkish BoJ signaling.
Source: Bloomberg
