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Jurassic


Total Posts: 327
Joined: Mar 2018
 
Posted: 2020-03-17 13:00
New thread for this...

leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-17 15:42
I am seeing some extreme relative moves in US/Japanese equities for 2020-03-17. Smells like a liquidation maybe of a stat-arb fund or two to me.

leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-18 15:23
Same moves today (2020-03-18), so definitely someone is liquidating. Someone big, quant, short term, global, and sophisticated. I know it is heresy to suggest such a thing but I wonder if Medallion has run into trouble.

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-18 15:56
With the sell-off in USTs while the Fed is stuck on the bid button...yes, it might just be a large liquidation or ten...!

I had a very insightful call with a friend in cpty credit at a dealer last night.

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

Jurassic


Total Posts: 327
Joined: Mar 2018
 
Posted: 2020-03-18 18:36
@leftskew why does US/Japan equities mean a liquidation?

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-18 19:43
@Jurassic your question reminds me of the joke about the guy who says he is going to kill 3 million muslims and a hot blonde.

Why the hot blonde?

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

EspressoLover


Total Posts: 401
Joined: Jan 2015
 
Posted: 2020-03-18 19:47
The challenge for quant strats is that the co-movements are no longer being driven by risk-on/risk-off, but rather the desperate need for liquidity from the real economy. Financial sentiment is taking a back seat to distressed actors liquidating financial assets to cover operating cash flow shortfalls. Retail investors have always buffered selloffs in the past decade by buying the dip. Now many of them have real businesses on the verge of missing payroll.

Safe-haven assets are getting liquidated right along with everyone else. That's why you're seeing selloffs in both treasuries and equities. Betas are getting compressed to 1. Liquidating utility stocks frees up just as much cash as semiconductors. That's probably fucking up most stat-arb models, because without context beta compression looks a lot like idiosyncratic dispersion.

Good questions outrank easy answers. -Paul Samuelson

nodoodahs


Total Posts: 234
Joined: Sep 2007
 
Posted: 2020-03-18 20:20
I don't think this financial crisis 2.0 has anything to do with anything in the real economy; rather, the emergency in the real economy is being created in order to cover for what is going on in the FX swap/forward markets. Look at the expansion of range in the currency moves; that isn't being caused by upset airlines and restaurant chains and oil majors and real businesses trying to raise operating cash.

We're dealing with a collapse as big as Lehman's or LTCM's happening, or multiple parties damaged as much cumulatively as a Lehman. Pull up a long-term chart in log scale, the last time you see a decline anywhere near as steep, with this kind of volatility expansion, was Lehman. When more comes to light and as counterparties become exposed, we'll have other rounds of liquidation. To my knowledge, there has never been a bear market in stocks, preceded by years of aggressive Fed action and an inverted yield curve and associated with a recession, which did not have multiple waterfall events and bounces off of false bottoms, and which did not take about 18-30 months to establish a new firm uptrend.

The size of the irresponsibility is so massive that the government doesn't want it exposed, hence, the gaslighting about this virus and the closures, which we didn't do in 2017/18 when 80,000 Americans were dying from influenza. It doesn't look as if they've been successful though; in most places I frequent, people are waking up to the fact that this market action doesn't jibe with the reality. Even the Spanish Flu of 1918/19 only dropped the Dow about 10% or so.

The impacts to the real economy haven't happened. Yet. They will, and they will prolong the damage and possibly succeed in covering the actual facts, much like a murderer burning down the house with the body in it.

I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

sharpe_machine


Total Posts: 46
Joined: Feb 2018
 
Posted: 2020-03-18 20:35
Does anyone have color on Millennium and Citadel? I am hearing some rumors of big losses but numbers are hard to believe.

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-18 20:40
but numbers are hard to believe.

No, they are not.

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

longGamma


Total Posts: 22
Joined: Jan 2019
 
Posted: 2020-03-18 21:02
Any numbers for Millennium/Exoduspoint/Bluecrest?

I imagine a few desks were carried out..

Z-score TY CTD

sharpe_machine


Total Posts: 46
Joined: Feb 2018
 
Posted: 2020-03-18 21:04
@Kitno

Just to be on the same page.... I heard -15 for Citadel.

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-18 21:28
Caveat, I am not in one of those shops and based on unsubstantiated rumours that would be a great situation to be in...!

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-18 21:54
@Jurassic

Those just happen to be the two equity exchanges I follow most closely, I assume the same thing is happening globally. And I am pretty sure it is a liquidation because of the huge, consecutive, unprecedented moves I am seeing in certain stat-arby factors that we track. These moves are not aligned along with any industry/well known risk factor, although now they are represented in short term momentum! Based on the size of the moves we were estimating 10B/day liquidation at least, so we could have a few more days of this depending on who the culprit is. Aug 07 is the only similar period I am aware of, but given there is more money in quant now this could be worse.


longGamma


Total Posts: 22
Joined: Jan 2019
 
Posted: 2020-03-18 21:59
@leftskew

thanks for sharing. Do you have any color on ETF market making strats?

Several funds blew out to unprecedented discounts in the past week.

GDX traded at 93 cents on the dollar.. it's a fund that holds liquid equities.. not junk bonds. The cheapest it traded during the GFC was at 97 cents.


leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-18 22:05
@longGamma

No I don't, sorry. I did hear (unconfirmed) that Cubist is down ~20% MTD, Point72 is down at least 6, Rentech getting slammed more this week.

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-18 22:14
I sound like a dick but today was the first day we took it in the Jackson after a stellar 3 weeks. I'm off to neck a bottle of rum.

Remember kids, don't play with knives lest you try and catch one.

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

Maggette


Total Posts: 1211
Joined: Jun 2007
 
Posted: 2020-03-19 00:17
Who cares about Citadel and rentech.. The real news is my overengineered retail ETF portfolio is acting strange. Rebalancing dynamically to target weights using a stupid moving average of past rebalances and an aggregated vol estimate lead to an quite abrubt stop in rebalancing relatively high exposure in VIXY ETFs short term rates and cash (hey.. I an German... Holding cash and eating inflation is a tradition over here)

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

leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-19 00:44
Selloff/liquidation seems to be continuing, for the third day. Aug 07 started on a Monday and recovered on Friday as far as I know, but somehow I suspect this one is going longer.

someprimetime


Total Posts: 3
Joined: Jul 2018
 
Posted: 2020-03-19 03:46
Is your avatar supposed to be Kevin O'Leary (Mr. Wonderful)?

ronin


Total Posts: 549
Joined: May 2006
 
Posted: 2020-03-19 10:38
I'm pretty happy with the month so far.

Nothing out of this world, but I can go lie in a hammock on some beach until January.

> Remember kids, don't play with knives lest you try and catch one.

nooooooo....

"There is a SIX am?" -- Arthur

Kitno


Total Posts: 460
Joined: Mar 2005
 
Posted: 2020-03-19 12:54
@someprimetime Kravis

HEY! What about the guy who first landed on the moon? He said "one small step for man". I'd just have said "OMG I'm on the moon!"

someprimetime


Total Posts: 3
Joined: Jul 2018
 
Posted: 2020-03-19 16:12
Oh. LOL. Thanks. Been wondering that for awhile. Cheers.

leftskew


Total Posts: 13
Joined: Sep 2019
 
Posted: 2020-03-19 18:18
Hearing that many of the funds in the quant equity market neutral space have delevered significantly, and that there is a bit of a bounce today, but not a huge one. Saw news on BB that Millennium closing a bunch of pods, >10.

Jurassic


Total Posts: 327
Joined: Mar 2018
 
Posted: 2020-03-19 19:08
one guy in the comments on ft article on millennium suggests that quant funds have done very badly
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