SocGen: “This Is What Happens When The Algos All Head For The Exit At The Same Time”
by Tyler Durden
ZeroHedge.com
Jun 12, 2017
After Goldman, JPM and even Dennis Gartman all opined on Friday’s “tech wreck”, in which the Nasdaq tumbled 2% as the Dow Jones hit new all time highs (the only previous time it has done that was in 1999 just as the tech bubble was ramping up), and when the Philly semiconductor index fell 4.2%, SocGen’s Andrew Lapthorne could not resist, and in a note released on Monday morning, explains that what happened on Friday was merely an episode of “systematic momentum selling”, or said otherwise, a teaser of what happens when the algos all “head for the door all at the same time.”
His advice: “when it’s time to head for the door, you better move fast.”
Here’s Lapthorne:
The sell-offs themselves are not particularly unusual, but the uniformity of the prices moves all on the same day indicates a market driven by price chasing momentum, with investors heading for the door all at the same time.
Indeed, those S&P 500 stocks which sold-off on Friday were almost all from the strongest performing decile over the previous 12 months (the r-squared on the S&P 500 line in the chart below is 85%). Within Nasdaq the relationship is even stronger at 95%.
The Rest…HERE
