Neutral Momentum index recently plunged the most on record…
A move which Nomura’s Charlie McElligott quantified as a 15 sigma drawdown, or one which normally would take place every several billions years
https://trulytimes.com/quant-carnage-hammers-iconic-hedge-funds-renaissance-two-sigma.html?amp=1
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Even though I don't understand a word of this, I'm getting a bad feeling about it, similar to the feeling when Bear Stearns went belly up, when even Central Banks had not heard of Collateralized Debt Obligations
Almost certainly there will be a large, systematically important institution, probably French or German, 'desperate for yield' which went in large on the wrong side of this trade
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and in English?
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Ek al begryp ik gjin wurd hjirfan, ik krij der in min gefoel oer, fergelykber mei it gefoel doe't Bear Stearns de búk omheech gie, doe't sels Sintrale Banken net hiene heard fan Collateralized Debt Obligations
Hast wis sil d'r in grutte, systematysk wichtige ynstelling wêze, wierskynlik Frânsk as Dútsk, 'wanhopich foar opbringst' dy't yn grutte gong oan 'e ferkearde kant fan dizze hannel
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Quants and the like produce very clever models to show how such and such event will only happen with amazing infrequency. And then they happen remarkably offen
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Black Swans come along apparently every several billion years
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there are quiote a lot of black swans near here. get a nationa trust membership
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I genuinely don't know if OP is joke nonsense talk or serious.
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Yes.
The thing is, if there are a billion different black swan events, then another black swan should be coming along any moment now
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If there are billions of black swans they're not really black swans anymore are they. We need a stochastic paradigm shift in the delta - black unicorns, rainbow swans or something.
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Hard agree with wang. For along time there were three or four in st James park
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If you bothered to read the article you would see that far from being a stochastic paradigm shift in the delta, it is a shift in the two sigma that matters
Or even in the two gamma
And Guy, you will learn about this gibberish soon enough when your pension trustees turn out to be on the wrong side of this trade
Royal Bank of Scotland anyone ?
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Tell us what to do Forster. I am seriously thinking of getting some gold bullion.
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Fake(ish) news. Renaissance funds have had a bad year, but they were up in 2018 when most of other funds were down. Lots of other hedge funds have had a good-to-great year. For long/short equity, it may turn out to be the best year since the GFC - what didn't work for quant funds worked well for discretionary managers. Bobby Axe was right all along.
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Buy Bitcoin. Basically like gold except portable
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Heh
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Charlie McElligott has now clarified and simplified the position by writing that
"Following the "de-risking into the election event" which was mostly about the initial VaR-down transitioning to a massive “gross-up” redeployment in underlying status quo “momentum” Equities books on post-election clarity, "the the issue now isn’t directional as far as risk deployment goes…instead, for the masses, the challenge is going to be about dispersion, because the 5+ year legacy crowded-positioning of the "everything duration" goldilocks momentum trade—long secular growth vs short cyclical value—is likely going to see tectonic movement and at the very least, tactical unwind to play for this “economic reopening” forward view."
Alles klar ?
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"If you bothered to read the article you would see that far from being a stochastic paradigm shift in the delta, it is a shift in the two sigma that matters"
Nonsense. The backtesting clearly failed to incorporate an adequate pd curve for the portfolio. Most likely due to the historic data only featuring swans correlating to hues of 0 to 1 on the Panini scale. The likelihood of a rainbow unicorn event should have been considered. Amateurs.
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