It’s not only a bad hair day. It’s a bad commute day. And it’s a bad day for the quants, according to DealBreaker’s readers.
“The worst day ever,” one reader tells DealBreaker. Another describes it as “a bloodbath.”
In particular, statistical arbitrage hedge funds—StatArb, as they say—are said to have taken a beating in the last couple of days. For all you investment bankers in M&A, a typical statistical arbitrage strategy is to look for stocks whose prices usually move together but have recently diverged. They then place take positions intended to make money when the usual relationship is re-established. Sometimes this means shorting stocks that have unexpectedly risen or buying stocks with downside divergence. The idea is to make money from temporary mispricing in the market.
A number of DealBreaker readers have written in to say that the StatArbs are in trouble.
“The trading volumes are going thru roof, to the point that the program trading desks servers are crashing,” one reader writes. “For what it’s worth, I think it’s part of the unwinding of leverage from June and July. A number of multi-strategy shops are looking at losses and can’t even get a bid on certain swaps, fixed income and derivatives. So, what’s a risk manager/CIO going to do? Sell the most liquid part of their book.”
None of the computers or gerbils running the StatArb books would comment to DealBreaker.
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that picture is outa control (looks like my porn control room, strangely, but with more tickers less uh, other things)
Jesus…is that really someone’s desk! Looks like a hellish way to spend the day to me.
LTCM unavailable for comment.
the number of screens in a trading room is inversely proportional to the common sense of its occupants.
Mo’ Monitors, Mo’ Problems.
Oh yeah and not all StatArbs are down.
lol @ mo’ monitors, mo’ problems, biggie would have been proud (had somebody explained to him what a monitor was)
i run a paper strategy and i did get a nasty shock for the last couple of days (especially today) but still up 7% ytd (incl. tc, no fees).
quantstar/roger haha def true (just don’t tell jim simons he’ll smoke your ass!)
It wasn’t all that much fun for some of us Stoneage long/short guys either.
Heard that its goldman’s quant fund not global alpha having the most trouble… so this might be along those lines
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stories like this are part of the problem not the solution
stories like this are part of the problem not the solution