In a positioning confirmation / "nod" then to this growth- and inflation- slowdown scenario, it is finally worth noting that we see our Risk Parity model having added enormous notional size in global Government Bonds (USTs and JGBs) over the past month, against very large selling of global Equities and Credit.

The implication - and confirmation - judging by today's market, is that the trade was a long way from finished, looking at the recent risk parity deleveraging in equities...

But while ongoing (relatively slow) risk parity deleveraging may explain the pressure on the market over the past month, the reason for the sharp waterfall in US stocks just after 12pm ET...

... has to do with another systematic "trader" type in the market: namely the much faster CTAs, or managed futures funds, which do nothing but chase market momentum once it has been established.

As McElligott writes in a follow-up note the Nomura CTA Trend model "is again deleveraging massive notional in long US Equities expressions across SPX, RTY and NDX live."

This is more about performance and year-end timing than the curve inversion / "growth scare" story…but that certainly is not helping the sentiment here either, as stops are being triggered across fundamental and rules-based strats.