Summary
- Morgan Stanley said selling in leveraged ETFs reached $57 billion on the day New York stocks plunged, the highest level since 2007.
- It also said the net leverage ratio of US long-short hedge funds fell 5% in a single day, the fifth-largest one-day decline since 2010.
- Since June this year, position cuts through actual trading have reached 10.7% of the market value of stock holdings, the highest level in about a decade, and de-risking is spreading more broadly.
Forecast Trend Report by Period
Morgan Stanley estimated that selling pressure in leveraged exchange-traded funds reached $57 billion on Nov. 5, when US stocks plunged.
BlockBeats reported on Nov. 8 that Morgan Stanley's derivatives team said in a recent client note that leveraged ETF selling totaled about $57 billion on Nov. 5, when the New York stock market slumped. The bank said that was the highest level since it began tracking the data in 2007.
The net leverage ratio of US long-short equity hedge funds fell 5% in a single day at the time. That was the fifth-largest one-day decline since 2010. Net leverage dropped to the bottom 10% of its historical distribution for the same period.
Since June this year, position cuts through actual trading have amounted to 10.7% of the market value of stock holdings at the end of June. Morgan Stanley described that as the biggest reduction in about a decade.
Morgan Stanley also said correlations in price moves among major stocks have started to rise. That suggests investor de-risking is spreading more broadly.
JOON HYOUNG LEE
