Remember when last week JPM’s head quant Marko Kolanovic said there is little risk of the quants puking? Well, he was wrong. Here are some critical thoughts from Goldman’s strats team on levels and size of flow from the Passive community which gives an idea as to what has driven the sharp lower in the US over the past hour…….our (GS systematic strategist) work suggest that the 2,735 level in the S&P is where trends could start to change, driving more aggressive selling from the CTA community. We estimate this community to be long approximately $70bn of US equities and $190bn globally coming into today. If negative price action continued or worsened, we think getting flat (i.e. $190bn of global sales) in a month is reasonable…
https://www.zerohedge.com/news/2018-02-05/goldman-explains-todays-crash-quants-have-190bn-puke
