Last week, following a series of unprecedented, shocking market moves, we explained that a big reason behind the decorrelated cross-asset rollercoaster was due to an unprecedented, the biggest ever VaR shock, that forced risk parity funds, which until 2 months ago were the most levered ever, to engage in an unprecedented liquidation and delever to levels that were more suitable for the current, well, market crash.

We thought there was no way this market-dislocating move could ever be repeated. We were wrong, because as we showed yesterday, on Wednesday markets just suffered the biggest balanced portfolio drop in history, surpassing both the insanity of last week and the global financial crisis.

This morning, in a detail postmortem of just this move, Nomura's Charlie McElligott writes that the move shown above in the model "60/40" balanced portfolio may have marked the peak "sell everything" moment, with a record 15.5% drawdown in 18 days, which represents an 8-sigma move, and is the largest on record.