Where Are The Institutional Investors When You Need Them?

Who is going to buy these goddamn stocks?


Dammit Sophia! Artificial Intelligence Likely Played Role In February Selloff, One Bank Says

“Dammit, Sophia.”

One Analyst Suggests CTAs Face Existential Crisis After February Quant Quake

“In fact, the opposite happened during February’s correction.”

Good News: Marko Kolanovic Still Sounds Pretty Bullish

Gandalf. Need more Gandalf.

Marko Kolanovic Is Back: ‘Systematic De-Leveraging Is Behind Us’, Markets To Rally

All clear!

Quant Crash: Human-Robot Blame Game Escalates As CTA, Risk Parity Scapegoating Reaches Fever Pitch

To fear them or not to fear them?

How Much Did CTAs And Risk Parity Sell During The Friday-Monday Bloodbath?

There are lingering questions.

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.

Nightmare: Goldman Explains How VIX ETPs Activated The Doom Loop On Monday

“Come play with us Danny”…

Commodus And The Tantrum Tail Risk

Those are the dominoes. Don’t tip one.

‘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?”

Market Doom Loop Update: Risk From VIX ETPs, CTAs Flashes Red

It’s all about “loops” and “spirals” these days.

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.

You May Have Had A Better Week Than Some Quants

…it’s fair to ask if maybe the CTA crowd had a bad week. Because long Treasurys and short USD wasn’t exactly how one would have wanted to be positioned ahead of the “no apocalypse” risk rally that saw 10Y yields rip 18bps higher off the previous Friday’s lows while the dollar put in one of its best five-day stretches of 2017.

Are CTAs Behind The Bond Rally?

“The CTA performance index has ripped in the back half of August after 10s rallied below 2.25%,” Deutsche goes on to write, adding that their “rolling 1m beta analysis shows that CTAs have gotten very long the market.”