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nodoodahs


Total Posts: 234
Joined: Sep 2007
 
Posted: 2020-03-19 19:41
https://www.pionline.com/money-management/200-billion-world-exotic-quant-trades-joins-stock-meltdown

Edit to add quote "This week, a hedge fund run by former Goldman Sachs Group bankers that exploited differences within volatility markets shuttered when those trades went awry."

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

indiosmo


Total Posts: 18
Joined: Jun 2011
 
Posted: 2020-03-20 10:05
@leftskew

We're a small outfit holding an ADR arbitrage book and our leverage went from 6x to an average of 2.5x due to increasing margin requirements.

Some securities are now requiring over 50%.

Granted we're small but these are iliquid securities and it does cause some pressure on the prices and I assume something similar going on with the big funds.

Strange


Total Posts: 1649
Joined: Jun 2004
 
Posted: 2020-03-20 11:46
I am pretty sure they find they are referring to is Malachite. No surprise, most of volatility relative value is simply selling volatility :)

'Progress just means bad things happen faster.’

nodoodahs


Total Posts: 234
Joined: Sep 2007
 
Posted: 2020-03-20 12:42
@Strange Yes it was Malachite.

@indiosmo The same thing happening in futures.

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

indiosmo


Total Posts: 18
Joined: Jun 2011
 
Posted: 2020-03-20 13:07
Taking it to the limit the sell-off should only stop when everybody is fully deleveraged due the the feedback loop of "Margin Call -> Liquidations to Cover -> Increases Volatility -> Increases Margin Requirements", rinse and repeat.

doomanx


Total Posts: 77
Joined: Jul 2018
 
Posted: 2020-03-20 16:03
Seems like Ronin Capital is done:
Effective immediately, the Government Securities Division (“GSD”) of the Fixed Income Clearing Corporation (“FICC”) has ceased to act for Ronin Capital LLC, and account numbers 9633 and 9937, respectively, pursuant to Rule 21 of the GSD Rulebook. GSD will continue to take all actions it deems necessary to resolve all outstanding obligations and other pending matters involving Ronin Capital LLC and FICC.

Link: https://t.co/rrzQeaE6jZ?amp=1

did you use VWAP or triple-reinforced GAN execution?

leftskew


Total Posts: 21
Joined: Sep 2019
 
Posted: 2020-03-20 18:28
Hearing of more funds with losses earlier in the week. Last two days (Thurs, Friday) the factors I look at have been stabilizing, so perhaps the liquidation in this part of the universe is over. Will be interesting to see where everyone stands when the dust settles.

sharpe_machine


Total Posts: 60
Joined: Feb 2018
 
Posted: 2020-03-20 19:05
Apparently Cubist is down a lot (https://archive.md/p8k6g).

Kitno


Total Posts: 491
Joined: Mar 2005
 
Posted: 2020-03-20 22:23
I looked at some retail RM HY bond funds today for the pension (too soon - just looking).

Two things 1) these guys have not remarked properly - back of fag packet calculation vs their publicly stated top 10 credit positions made no sense with actual bid levels.

2) I remembered the last crisis. Month-end after price testing/redemptions and quarter end turn = blood bath for credit.

All the soul of man is resolution, which in valiant men falters never, until their last breath.

doomanx


Total Posts: 77
Joined: Jul 2018
 
Posted: 2020-03-20 23:02
Anyone heard anything about Universa? I'm picturing Wolf of Wall Street-esq scenes over there right now. Spitznagel bowling midgets while Taleb deadlifts Margot Robbie.

did you use VWAP or triple-reinforced GAN execution?

Strange


Total Posts: 1649
Joined: Jun 2004
 
Posted: 2020-03-20 23:52
RIP Ronin!

'Progress just means bad things happen faster.’

agentq


Total Posts: 38
Joined: Jul 2008
 
Posted: 2020-03-21 00:26
Some more performance numbers:
https://archive.md/Nzd8c

RIEF -5.5% MTD, -12% YTD
Schonfeld Partners Fund -10% MTD
Cubist -2.7% YTD
WorldQuant -3% YTD

Those last two look kinda suspicious. My understanding that both are predominantly quant equity, so presumably those figures are as a fraction of GMV, not AUM?

Maggette


Total Posts: 1233
Joined: Jun 2007
 
Posted: 2020-03-21 17:28
Hi,
can somebody enlighten me why and who much is DE Shaw dabbeling in discretionary trading? Their web page claims tey hdo discretionary stuff all over the place (energy, ABS..)

Kind of a thread robbery, but does it make sense for a quantitative hedge fund to branch out into this stuff? They would have a hard time convincing me as an investor

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

Maggette


Total Posts: 1233
Joined: Jun 2007
 
Posted: 2020-03-21 17:28
Hi,
can somebody enlighten me why and who much is DE Shaw dabbeling in discretionary trading? Their web page claims tey hdo discretionary stuff all over the place (energy, ABS..)

Kind of a thread robbery, but does it make sense for a quantitative hedge fund to branch out into this stuff?

They would have a hard time convincing me as an investor

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

Kitno


Total Posts: 491
Joined: Mar 2005
 
Posted: 2020-03-21 17:32
I'm being tongue-in-cheek Maggette (your point is however spot on - investors should know the risk and parameters of their investment if you solicit them). That said:
1. LTCM
2. I'm really good at trading my hedges (when has that EVER been the case? If you were that good you'd have hit the bid in underlying the first place...)

All the soul of man is resolution, which in valiant men falters never, until their last breath.

ronin


Total Posts: 585
Joined: May 2006
 
Posted: 2020-03-21 20:22
> RIP Ronin!

Rip namesake.

On the good side, the name will now be available. On the bad side, it's probably not worth having any more...

Im just waiting to see Strange Point Asset Management on the list of casualties...

"There is a SIX am?" -- Arthur

gamerx


Total Posts: 15
Joined: Sep 2012
 
Posted: 2020-03-22 07:34

Posted: 2020-03-20 23:26
Some more performance numbers:
https://archive.md/Nzd8c

RIEF -5.5% MTD, -12% YTD
Schonfeld Partners Fund -10% MTD
Cubist -2.7% YTD
WorldQuant -3% YTD

Those last two look kinda suspicious. My understanding that both are predominantly quant equity, so presumably those figures are as a fraction of GMV, not AUM?
---

I guess so. In my network, the performance numbers being floated around for the last two are at least 1 magnitude bigger, and of course negative.

Strange


Total Posts: 1649
Joined: Jun 2004
 
Posted: 2020-03-22 15:12
@ronin Im just waiting to see Strange Point Asset Management on the list of casualties...

Seriously, dude, wishing me ill? I am not even sure how to respond :D on the flip side, I hope you (@ronin, not Ronin Capital) are doing ok!

Strange Point Asset Management (SPAM) was bleeding patiently waiting for this crisis to happen. Past few weeks have been stellar in terms of returns, but sadly I just started at a new fund and was not running at the full scale yet. Just enough to have dinner at McDonalds, though.

In the spirit of spreading unsubstantiated here-say, JD Capital has supposedly gone "poof" too.

Also, I hear conflicting stories about what did Ronin in - does anyone have any details?

'Progress just means bad things happen faster.’

ronin


Total Posts: 585
Joined: May 2006
 
Posted: 2020-03-22 20:35
> Seriously, dude, wishing me ill? I am not even sure how to respond :D on the flip side, I hope you (@ronin, not Ronin Capital) are doing ok!

Man - i put my foot right in it...
I thought SPAM was a joke - I never realised you actually launched. I do wish you all the best! And SPAM especially.
On the other hand, given the branding, I'm not surprised you eat at McDonalds on your own dime.. Wink

I am doing well. Both products up on the month, quarter, year, ever - can't remember when was the last time I had that.

Ronin Cap - besides being net short and unable to make margin? Did they need any more than that?

"There is a SIX am?" -- Arthur

Jurassic


Total Posts: 359
Joined: Mar 2018
 
Posted: 2020-03-23 13:52
When do the end of months numbers come out and can someone get them?

leftskew


Total Posts: 21
Joined: Sep 2019
 
Posted: 2020-03-23 14:53
Millennium down 6.8% for month, their worst ever. RIEF down 18% MTD, 24% YTD. RIDGE down 13% MTD, 16% YTD. Heard Voleon down double digits too. DE Shaw is flat or slightly down, but they are not pure quant anymore.

Does anyone have updates from Citadel, Two Sigma?

kuebiko


Total Posts: 41
Joined: May 2018
 
Posted: 2020-03-23 15:34
Wow. Also curious about 2S.

Anyone have info on any of the HFT/prop shops? HRT, Tower,
Jump...?

indiosmo


Total Posts: 18
Joined: Jun 2011
 
Posted: 2020-03-23 15:50
Our mechanical arbitrage strategies are up ~20% MTD so I would assume Tower and Jump are making bank as well.

doomanx


Total Posts: 77
Joined: Jul 2018
 
Posted: 2020-03-23 15:57
Was just about to say Corona is not bad for HFT mm strats. Sure, the market has moved a lot in terms of % but the diffusion (if you subtract the opens which don't matter as hft mm is usually flat eod) has been very much continuous and so fairly straightforward to handle.

Very curious about AHL if anyone hears anything.

did you use VWAP or triple-reinforced GAN execution?

EspressoLover


Total Posts: 434
Joined: Jan 2015
 
Posted: 2020-03-23 18:38
Second that. I can say from personal ancedata, that at least in one relatively inconsequential corner of the global markets, HFT has been a rocket ship the entire month. Both market making and liquidity-taking strats have done very well.

HFT tends not to take large positions, even on a gross basis. So large adverse moves don't really cause significant damage. In a similar vein Sharpe ratios tend to be very high. For most strats, if alpha doubles but volatility quintuples, that's a recipe for forced deleveraging. In HFT space that just means your 20 Sharpe strategy becomes 8 Sharpe with twice the PnL. Another point from an ecosystem level: whereas quant portfolios tend to crowd into the same positions, HFT market makers, if anything, have anti-correlated positions. Only one algo can capture the front of the queue on any given book at any given time. So, even if one HFT portfolio is forced into liquidation, it's unlikely to trigger systematic deleveraging.

It could be my personal biases, but one thing that seems to distinguish the stat-arb desks that are weathering this relatively better is the ability to "speed up". Stealing a quote from Lenin: there are decades where nothing happens, and weeks where decades happen. You may get used to rebalancing once a day, because that's close to optimal in normal conditions. But in this regime, if you don't trade faster to match the market's cadence, it means that you're eating all the extra volatility, but missing most of the alpha opportunities in the whipsaws.

That said, what I'm really curious about is Medallion's numbers. I think it'll shed a lot of light into the debate about what really drives the fund.

Good questions outrank easy answers. -Paul Samuelson
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