“Buffering”…
Category: CTA
The Usual Suspects And A Theory On Global Macro Funds
Selloffs following record highs should probably be viewed as some semblance of cathartic, but that’s not the way people think about things in the post-crisis world.
‘Rolling Minsky Moments’ And ‘Pseudo-Stability’: Revisiting The Avalanche
On Thursday morning, following the systematic unwind that precipitated the worst day for U.S. stocks
January All Over Again?
Back to the “melt-up”.
Nomura’s Charlie McElligott Outlines The ‘Two-Speed’ Research Thesis For A ‘Vol-Centric World’
“The changes, the inflections that are made happen unemotionally and happen with significant leverage behind them.”
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.”
Where Are The Institutional Investors When You Need Them?
Who is going to buy these goddamn stocks?
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.
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.”
Death By A Thousand Cuts.
The bottom line is that between another powerful hurricane approaching the U.S. mainland, U.S. markets catching up with their global counterparts in terms of pricing in North Korea after the long weekend, the DACA decision which portends more bickering in Washington, and the looming debt ceiling debate (with the specter of a technical default showing up in today’s decidedly poor 4-week bill auction), it was death by a thousand cuts.
‘I Come Back To You Now’: Kolanovic Returns, Everyone Panics
“…at the turn of the tide.”
‘Things Are Starting To Reverse’: Goldman Warns On ‘Shock’ Risk
“Risky assets digested the increase in bond yields only reasonably well – 3-month equity/bond yield correlations stayed positive (Exhibit 3) and credit spreads buffered part of the increases (Exhibit 4). But correlations are starting to reverse.”
‘They’re Still Extremely Leveraged’: ‘Crowded Unwind’ By CTAs Could Exacerbate A Rates Selloff
“However, a large beta of CTA returns to the Bloomberg Treasuries Index suggests that CTA positions are still extremely leveraged”…
You must be logged in to post a comment.