Fear of CTA sell-offs could trigger wider stampede

Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts

Crowd of businessmen and women
Rush for the exit: CTA unwinds could herald more widespread sell-offs

It was the kind of volatility event that fundamental investors feared might trigger indiscriminate selling in black box trading strategies.

On May 17, the S&P 500 plunged in the wake of news reports that US president Donald Trump pressured former FBI director James Comey to drop his investigation into the activities of Michael Flynn, the US national security adviser.

But the subsequent 1.8% fall in the US equities market – a 2.3 standard deviation event – barely ruffled the feathers of

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