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a路径积分


Total Posts: 81
Joined: Dec 2014
 
Posted: 2019-09-11 00:24
Any idea who's making this massive rotation to value?

Strange


Total Posts: 1578
Joined: Jun 2004
 
Posted: 2019-09-11 01:47
... and out of momentum. Supposedly this was the biggest momentum crash since 2009. I asked around if anyone is liquidating books but it does not look like it.

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”

Baltazar


Total Posts: 1773
Joined: Jul 2004
 
Posted: 2019-09-11 03:05
Care to provide pointers/articles about this?
Are we talking EQ or more general?

I don't trade Momentum or Value but nothing really bliped on my radar

Qui fait le malin tombe dans le ravin

zee4


Total Posts: 66
Joined: May 2010
 
Posted: 2019-09-11 03:17
Not the best source, but you can skim what is going on:

https://www.zerohedge.com/markets/quant-quake-20-fallout-nomura-warns-horrific-returns-momo-stocks-ahead
https://www.zerohedge.com/markets/kolanovic-what-just-happened-has-only-occurred-two-days-history

Бухарский

EspressoLover


Total Posts: 382
Joined: Jan 2015
 
Posted: 2019-09-11 05:13
This was a pretty good summary.. The equity factors have been moving very contemporaneously with the yield curve on an intraday basis. Just eyeballing it the strength of the cointegration is too string to be coincidental.

I don't know why steepening in rates would be rotating market neutral factors. But given the respective depths of the market, it seems almost certain that the causality runs from the former to the latter. Also important to also keep in mind that despite being a huge two-day selloff, the drawdown's pretty just last month's returns.

Edit Addendum: This article seems to suggest that it's being driven by CTAs reversing the positions that they piled into in August. That makes some sense to me.

Good questions outrank easy answers. -Paul Samuelson

chiral3
Founding Member

Total Posts: 5100
Joined: Mar 2004
 
Posted: 2019-09-11 12:34
I saw equal and opposite ~7%-8% rotation from momentum to value against, notably, a backdrop of two things: unch SPX and a break from the more typical (rate driven) growth-value rot we've seen.

Bottom's up everyone speculated with the usual boogeyman of quant unwinds with tech and energy sector stand out. unch days with big rots have been the new norm for a while.

Nonius is Satoshi Nakamoto. 物の哀れ

Strange


Total Posts: 1578
Joined: Jun 2004
 
Posted: 2019-09-11 14:08
@chiral3 hit it on the head, this was happening a fair bit recently. A paranoid version is that we are seeing something big in the making and we will not know what that is until it's too late (a la Summer '07). On the other hand, it could be nothing.

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”

Jurassic


Total Posts: 255
Joined: Mar 2018
 
Posted: 2019-09-11 16:22
@Strange could you point to an equivalent move near 07??

london


Total Posts: 314
Joined: Apr 2005
 
Posted: 2019-09-11 17:13
@Jurassic: August 07 was when some factor quants understood factor concentration risk for the first time (not voluntarily!). I believe it was over a period of the month, rather than days, but others will correct me on this.

And to echo @Ronin: this is - so far - just a give up of returns since start August

Strange


Total Posts: 1578
Joined: Jun 2004
 
Posted: 2019-09-11 17:32
@Jurassic - here is a good explanation:

What Happened To The Quants In August 2007?

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”

Zoho


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-09-12 12:10
btw has anyone noticed how the betas of the long and short parts of momentum behaved before crash? the preceeding half of a year had all opportunities to overpopulate long part of the momentum portfolio by low beta stocks...
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