RBC Notes Thematic Unwinding Amid Volatility

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Mark Melin
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The markets are engaging in unusual patterns of behavior, a research note from RBC notes, pointing to the “quantitative nature” of some unusual unwinding behavior. In the end, though, the volatility might just be due to “correlation desks gamma hedge with ZERO tolerance for pain.” [dalio] As Fed talks down dollar, reversions a plenty amid unwinding Consider, for instance, some of the most crowded trades that are moving in reverse. RBC Managing Director and Head of US Equities Salestrading Charlie McElligott notes the reversions: Thematically we just saw essentially ‘the’ crowded ’15 macro trades come unglued on obvious unwinds: long…

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Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.