Such is the warning from Goldman Sachs Group Inc.’s Scott Rubner, who has studied the flow of funds for two decades. With indexes such as the S&P 500 breaking below key thresholds, trend-chasing systematic funds are at risk of being forced to unwind equity holdings.
The positioning, known as short gamma, has reached the most extreme level since Goldman began tracking the data in 2019. While trading has been orderly during the latest retreat, notable down days are adding up in stark contrast with the summer lull. The S&P 500 has fallen 1% on four separate sessions in the past five weeks. That followed a 47-day streak without a 1% drop through Aug. 1 — the longest run of resilience since January 2020.