‘Investors Have Been Struggling To Make Money This Year’: One Bank Details A ‘Tricky’ Environment
“Milk was a bad choice”.
Category: CTA
New From Epsilon Theory: The Many Moods Of Macro
“At their core, most macro models are central banking models and macro managers are carry investors. They willingly tied themselves to success in predicting bank actions, and in so doing had a wonderful stretch of good returns and low correlations with stocks.”
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Where Are The Institutional Investors When You Need Them?
Who is going to buy these goddamn stocks?
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Dammit Sophia! Artificial Intelligence Likely Played Role In February Selloff, One Bank Says
“Dammit, Sophia.”
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One Analyst Suggests CTAs Face Existential Crisis After February Quant Quake
“In fact, the opposite happened during February’s correction.”
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Good News: Marko Kolanovic Still Sounds Pretty Bullish
Gandalf. Need more Gandalf.
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Marko Kolanovic Is Back: ‘Systematic De-Leveraging Is Behind Us’, Markets To Rally
All clear!
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Quant Crash: Human-Robot Blame Game Escalates As CTA, Risk Parity Scapegoating Reaches Fever Pitch
To fear them or not to fear them?
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How Much Did CTAs And Risk Parity Sell During The Friday-Monday Bloodbath?
There are lingering questions.
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Did ‘The Market’s Boogeymen’ Just Suffer Their Worst 5-Day Loss On Record?
This is a particularly touchy subject under normal circumstances and this week is not a week that falls in the “normal circumstances” category, which means this debate is even more contentious than it usually is.
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Nightmare: Goldman Explains How VIX ETPs Activated The Doom Loop On Monday
“Come play with us Danny”…
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Commodus And The Tantrum Tail Risk
Those are the dominoes. Don’t tip one.
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‘There Is No One Left To Sell’: Mind The Archetypes
“These are the things that fund managers are expected to discuss, and they are often the right things to discuss. But if you have no justifiable idea whether the process itself should or will lead to outperformance, what the hell are you actually measuring?”
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Market Doom Loop Update: Risk From VIX ETPs, CTAs Flashes Red
It’s all about “loops” and “spirals” these days.
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Doom Loop Update: VIX ETP ‘Risk’ Remains High
According to the latest read on this, the potential for an ETP rebalance to cause problems is still near record highs.