Goldman: ‘Naively, Wednesday’s S&P Selloff Was The 5th-Largest Tail Event In History’
Wednesday was a disconcerting day for market participants and not just because stocks fell the most since February and the Nasdaq crashed the most since Brexit.
More notably, perhaps, than the selloff itself, was the character of the selloff. Things snowballed in the afternoon and by all appearances, a pretty dramatic factor rotation was behind the rout.
The Momentum ETF, you'll recall, had its worst day on record.
Similarly, Growth underperformed Value by the widest margin since the Goldm
I don’t understand what is “naive” in Fishman’s comment …
Well do note that those are his words not mine. Key is this: “…part of the reason this week’s volatility looks like a tail event is that realized volatility had been surprisingly low prior to Wednesday [as] the five least-volatile quarters for the SPX over the past 20 years were Q1/2/3/4 of 2017, and Q3 of 2018.”
why is the ARMS index so low if it was such a tail event?