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Massive Momentum Factor Unwind Triggers ‘Epic’ 7 Z-Score Performance Bleed

Needless to say, this isn't the best news for some folks.

Needless to say, this isn't the best news for some folks.
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3 comments on “Massive Momentum Factor Unwind Triggers ‘Epic’ 7 Z-Score Performance Bleed

  1. H-Man, you have got to “dumb it down” for me on this article. The nomenclature is foreign to me but my perception is there was obviously some type of a move that was a huge surprise. On bended knee I surrender and request you spit this out in something I can understand.

  2. I love the quants. Their work is great until you really need it. Ford motor bonds were downgraded to junk by moody’s today. They still have investment grade ratings from the other two main agencies but you can bet that isnt going to last long. 84 billion is not small potatoes. What do you think happens to risk assets when financial conditions tighten? You can throw your Greeks and standard deviations right out the f’n window. Then the quants will disappear from view for a couple of years, and you will be poorer for the experience of listening to them. Caveat emptor!

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