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Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-11-20 06:41
@strange, either that or your slv parameters need recalibrating....

forget SLV, just look at SK10 like non-quant people do, does the skew look steep to you? Vol has not realized, even sell-side people are noticing it and we pay their theta for them :)

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-11-20 15:05
> like non-quant people do

Sounds like the slv parameters definitely need recalibrating...

"There is a SIX am?" -- Arthur

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-11-20 17:43
> Sounds like the slv parameters definitely need recalibrating...

My life need recalibrating...

So, YtD and Oct numbers by strategy, 50th percentile estimated by a PB (not my data, don't blame me if it's wrong):

Credit Oct=flat, YtD=1%
Eq LS Oct=-3.9%, YtD=-2.5%
Evnt Oct=-1.5%, YtD=-0.9%
Macro Oct=0.4%, YtD=2.8%
Quant Eq Oct=-1.5%, YtD=0.7%
Sys Macro Oct=-3.5%, YtD=-4%

TBH, does not look quite as bad as I thought it would. This said, I am pretty sure capital-weighted it would look much worse.

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

goldorak


Total Posts: 1057
Joined: Nov 2004
 
Posted: 2018-11-20 17:47
The last 5 days were horrendous for us. Taking more than -6% so far. October was +3% though. May be this is good news for the others... Wink

If you are not living on the edge you are taking up too much space.

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-11-20 21:27
I wouldn't trust a single pb, but the numbers look pretty similar to the aggregators.

It ain't quite meltdown territory at this stage. Like I said before, it's only terminal if you were already a dead man walking.

"There is a SIX am?" -- Arthur

HitmanH


Total Posts: 474
Joined: Apr 2005
 
Posted: 2018-11-20 23:42
Agreed - I have:

Oct:
Equity Strats (GS) = -4, Year = -1%
Equity Strats (MS) = -5, Year = -3
Quant (GS) - 2, YTD = -5%

Nov?
Last week = -2.42%, which makes MTD = 0.51%
MTD to 11th = +0.3%

1-2 big Quants (from UCITS (public) or other - Systematica BlueMatrix = down >2 in Nov, GSA (from HSBC) flat / just down

Nothing here from properitary sources (ISE/Lux (UCITS) or HSBC Report (leaked on twitter))

Nonius
Founding Member
Nonius Unbound
Total Posts: 12772
Joined: Mar 2004
 
Posted: 2018-11-21 00:30
one fund whose name won't be mentioned is down close to 30%...it's all public but don't want to mention as he's a cool dude and an early member of NP.......

Chiral is Tyler Durden

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-11-21 03:23
@HitmanH >> Quant (GS) - 2, YTD = -5%
That's more consistent with the intuition and the gossip I hear, but I don't seem to reconcile it with the PB reports. I am going to ask my buddy who is at an FoF tomorrow.


I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-11-21 09:47

From BarclayHedge:


"There is a SIX am?" -- Arthur

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-11-21 14:27
@ronin Thanks! So (a) the numbers I got are not that far off and (b) you are right it's not fin de monde territory yet.

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-11-21 14:52
Otoh, nothing had a positive month. Nothing. Nada. Zilch. Niente.

I guess fixed income arbitrage is the place to be for now. Until the thing reaches bond markets.

One big caveat is that afaik BH doesn't do any weighting, and there are lots of small funds there. I know, because mine is one of them. So this is probably the optimistic picture - big funds seem to be taking bigger hits.

"There is a SIX am?" -- Arthur

HitmanH


Total Posts: 474
Joined: Apr 2005
 
Posted: 2018-11-21 15:29
That's a selective list.
FX focused funds did pretty well (as did FX premia)
Disc Macro did OK too

Energetic
Forum Captain

Total Posts: 1491
Joined: Jun 2004
 
Posted: 2018-11-21 20:18
My SPY (paper) trading strategy was +5% in Oct, flat so far in Nov and +43% YTD.

Sorry, couldn't resist.

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-11-21 23:04
My hindsight book is up double digits!

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

EspressoLover


Total Posts: 362
Joined: Jan 2015
 
Posted: 2018-12-10 19:16


Just going off Barclays indices, November wasn't as bloody as October, but still seems pretty bad. Especially considering the S&P was up nearly 2%. Most of the aggregate hedge fund performance seemed saved by emerging markets and event-driven, which are pretty long-biased.

Equity market neutral was down 1.9%, the worst month in over five years. And that's already after a pretty bad October. Another bad sign is that the "smart money" funds like Citadel, SAC, and Millennium did worse than the median fund in November.

Seems like a continuation of systematic deleveraging of sophisticated investors. Since US consumer sentiment is still buoyant, and institutional investors are skittish, we're likely rotating towards retail positions. At least in the short-term the market's probably going to keep "dumbing down", kind of like price discovery in reverse.

Good questions outrank easy answers. -Paul Samuelson

Nonius
Founding Member
Nonius Unbound
Total Posts: 12772
Joined: Mar 2004
 
Posted: 2018-12-11 03:13
Equity “Market Neutral” is rarely neutral....there’s always some long bias in some shape or form.

The other thing is people lump together a lot of different systematic approaches. I certainly wouldn’t compare AQR to Winton to RenTech.

Chiral is Tyler Durden

Maggette


Total Posts: 1093
Joined: Jun 2007
 
Posted: 2018-12-11 09:20
@ES. Sorry, couldn't follow you on the "rotating towards retail position" part. Could you elaborate a bit on that one?

Thx in advance

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-12-11 10:13
@el, this is just partial November. You only have half the funds reported so far. Full November results won't be in until after Christmas.

But happy to believe the overall picture.

Market neutral being down on an up month is actually ok from the alpha point of view - beta was off the scale in October, so it's good it's coming back. We'll see how it does on down months.

"There is a SIX am?" -- Arthur

nikol


Total Posts: 631
Joined: Jun 2005
 
Posted: 2018-12-11 21:44
People compare this meltdown also to 19 Oct 1987.

Just a bit of analogy:

When a fish swims pool full of water it learns perfectly well how to thrust itself forward. She does it very efficiently, even may escape from the shark. But what if pool is emptied and all liquidity is gone. What fish can do with her previous knowledge?

deeds


Total Posts: 424
Joined: Dec 2008
 
Posted: 2018-12-11 23:40


+ : )

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-12-12 16:55
Are you noticing some drop in liquidity?

Where?

"There is a SIX am?" -- Arthur

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-12-12 21:49
"Are you noticing some drop in liquidity?"

My local artisanal beer shop reduced the number of beers on tap from 14 to 7. If that's not a reduction in liquidity, I don't know what is!

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

ronin


Total Posts: 431
Joined: May 2006
 
Posted: 2018-12-13 12:03
> My local artisanal beer shop reduced the number of beers on tap from 14 to 7

Maybe your local artisanal beer shop is moving into the customised chinese tights business. It's booming, apparently.

"There is a SIX am?" -- Arthur

Lebowski


Total Posts: 75
Joined: Jun 2015
 
Posted: 2018-12-13 13:49
As soon as I saw the tights I knew they'd be a popular NP stocking stuffer. When you really know your customer a targeted marketing campaign like this can go a long way.

Strange


Total Posts: 1531
Joined: Jun 2004
 
Posted: 2018-12-13 14:22
Personally, I would go for the Customized Artificial Leisure Grass. I hear it's going to be legal soon.

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'
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