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According to the SG CTA Index, overall CTAs lost 6.9% in four days from Feb 1st to Feb 7th.And, as JPM notes, "pure trend following CTAs did even worse losing 9.2% during these four days.

In contrast, discretionary hedge funds such as Discretionary Macro or Equity Long/Short funds managed to preserve half or more of their previous January gains.

And the increase in 3M rolling realized vol at 3.3% has also been bigger than that seen during the Fed taper tantrum.

The pressure on Risk Parity funds, which are stricter vol targeters than Balanced Mutual funds, to delever has been exacerbated not only by the shift in bond-equity correlation into positive territory, but also by the recent rise in equity/commodity correlation as commodity prices collapsed over the past few days along with equities.

profit taking from certain CTAs that employ mean reversion signals along with momentum signals.

The first futures contract to get extreme was oil in mid-January, the week after were those of the S&P500 and MSCI EM indices, and then the euro and the pound at the last week of January.

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