With a black swan I mean a situation one didn't see or think would be possible, only in hindsight one has an explenation for it. Like funds that went bankrupt relying on historical asset correlations that they tought could never break. Because we're dealing with short positions here there is in theory potential for unlimited risk. So I imagine there could exist a 'black swan' scenario that can ruin an account using this strategy.

I tought it might be a market that goes on a never before seen mega trend with little to none volatility ... but only if one doesn't do daily rebalancing. I found the original articles I referred to in my previous post. This guy uses daily rebalancing and drawdown indeed seems minimal.

http://abacusengineer.blogspot.com/2...s-and-faz.html
http://abacusengineer.blogspot.com/2...s-and-faz.html
http://abacusengineer.blogspot.com/2...faz-short.html