Powering Through: De-risking or Re-risking (Credit Suisse)

April 2014

KEYWORDS: risk management, S&P 500, Macro, CTA, commodity trading advisor, hedging, commodities, energy

Authors:

Jon Kinderlerer

Organizations:
  • Credit Suisse

Summary:

Since the March and early April de-risking, exposure has stabilized and over the last two weeks gross exposure has started to move in line with the market, highlighting that the liquidations may have stopped. At the same time, even though the popular longs are underperforming, the magnitude of the underperformance is contained with most of it having occurred in the first few days of April.
The chart below shows how funds added gross exposure in the US (blue) at a faster clip to the market (grey) through January and into March. Through March and early April, we then saw a measured but fairly rapid de-risking. Around the second week of April, we entered the “stabilization phase”; since then, gross exposure has been tracking the S&P.

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