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Nomura’s McElligott Flags Potential For Major Inflection Away From Legacy CTA Bond Long

"This would drive mechanical selling flows from what has been one of the largest 'gross $ exposure' positions in the model all year".

"This would drive mechanical selling flows from what has been one of the largest 'gross $ exposure' positions in the model all year".
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3 comments on “Nomura’s McElligott Flags Potential For Major Inflection Away From Legacy CTA Bond Long

  1. vicissitude

    As the S&P 500 crawled its way to a new record, some of the smartest investors were creeping to the exit. Coming into this week, market-neutral quants had cut their gross stock allocations to the lowest in nearly five years, according to data compiled by Credit Suisse Group AG’s prime brokerage.

    The market-neutral cohort, which take no directional bets on the benchmark, eked out a return of 1% in the nine months through September, compared with 6% for hedge funds overall. They recorded some $3.9 billion of outflows in the period, taking total assets to $66 billion, Eurekahedge data show.

    “It looks nice — the market’s up 20%, but it’s been a wild ride underneath the covers,” said Mark Connors, global head of risk advisory at Credit Suisse in New York. “The factor path has been unpredictable.”

  2. vicissitude

    Recent random Entertaining find related to playing the VIX and or the markets

    ===> You can see here that the instances of being ‘underwater’ or much more frequent and evenly spaced than the amount of time that you are equity highs, leading to that too often feeling (as Carlson points out) that your investment portfolio just isn’t getting the job done. In fact, over the past 25 years (since Jan 1994), stocks have been at all time highs just 34% of the time, while in some sort of drawdown the rest of the time (64%).

    https://www.rcmalternatives.com/2019/10/what-is-seen-more-often-all-time-highs-or-drawdowns/

  3. Investors sell UST while Fed buys TBL – yield curve steepens – equity valuations (mechanically) decline – long duration and highly levered companies suffer – banks benefit

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