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Category: momentum

The Rotation Is Dead. Long Live The Rotation.

November 23, 2019November 24, 2019

“Expectations are extremely volatile”.

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1 Comment on The Rotation Is Dead. Long Live The Rotation.

‘What If Yields Rose By 100bp?’ Questions Linger Around Bursting Of Bond Beta Bubble

November 19, 2019November 23, 2019

How dramatic would the unwind be?

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1 Comment on ‘What If Yields Rose By 100bp?’ Questions Linger Around Bursting Of Bond Beta Bubble

After The (Duration) Purge…

November 14, 2019November 23, 2019

Cue a backtest.

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Is The Min Vol Bubble Bursting?

November 13, 2019November 23, 2019

It’s now just a matter whether the bubble merely deflates, or actually bursts in earnest.

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8 Comments on Is The Min Vol Bubble Bursting?

Nomura’s McElligott: ‘Now Comes The Hard Part’

November 13, 2019November 23, 2019

“The easy money has been made”.

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To Believe In The Rotation Or Not To Believe…

November 11, 2019November 23, 2019

…that is the question.

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2 Comments on To Believe In The Rotation Or Not To Believe…

Marko Kolanovic On ‘Groupthink’, Crowding And Why The Rotation Will Continue

November 8, 2019November 23, 2019

“Two strategies that in theory should have little to do with each other” have been “nearly 100% correlated” recently.

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2 Comments on Marko Kolanovic On ‘Groupthink’, Crowding And Why The Rotation Will Continue

As ‘Tantrum’ Risk Comes Calling, Nomura’s McElligott Flags CTA Bond Selling As Legacy Long Unwound

November 5, 2019November 23, 2019

Trade optimism is running rampant and crowded positioning looks set to unwind.

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Too Far Too Fast? Goldman Wonders If The Risk Rotation Can Last

October 29, 2019November 23, 2019

A sustained rotation requires an improvement in the data, the bank warns.

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Marko Kolanovic Again Warns Of Potential ‘Crash’ In Low Volatility Stocks, Flags Massive CTA Commodity Short

October 28, 2019November 23, 2019

“Low volatility crowding turned the conventional economics upside down”.

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1 Comment on Marko Kolanovic Again Warns Of Potential ‘Crash’ In Low Volatility Stocks, Flags Massive CTA Commodity Short

Marko Kolanovic, Charlie McElligott See Scope For Market Bounce After Quant Flow-Driven Rout

October 4, 2019November 23, 2019

“In less than 48 hours, many major markets lost ~5%”…

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8 Comments on Marko Kolanovic, Charlie McElligott See Scope For Market Bounce After Quant Flow-Driven Rout

Rates As ‘Patient Zero’ And The Fate Of September’s ‘Rotation Flirtation’

September 17, 2019November 23, 2019

The situation is “fluid”.

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‘Even Short-Lived Rotations Could Be Powerful’: Goldman Weighs In On Momentum Massacre, Factor Turmoil

September 11, 2019November 23, 2019

“The triggers in the short run could be geopolitical”.

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3 Comments on ‘Even Short-Lived Rotations Could Be Powerful’: Goldman Weighs In On Momentum Massacre, Factor Turmoil

Marko Kolanovic Weighs In On This Week’s Dramatic Factor Rotations, Delivers Near-Term Market Outlook

September 10, 2019November 23, 2019

“By just looking at the price of the S&P 500 one cannot see the true state of equity markets”.

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4 Comments on Marko Kolanovic Weighs In On This Week’s Dramatic Factor Rotations, Delivers Near-Term Market Outlook

Nomura’s McElligott On Monday Momentum Massacre: ‘One Of The More Stunning Trades In Modern Market History’

September 10, 2019November 23, 2019

“And yet HILARIOUSLY, Joe Schmoe retail investor looking at simple Index returns wouldn’t have had ANY idea of the calamity occurring”.

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7 Comments on Nomura’s McElligott On Monday Momentum Massacre: ‘One Of The More Stunning Trades In Modern Market History’

‘VaR-Down’, ‘Impossible’ Moves And Systematic Deleveraging: Nomura’s McElligott Documents Manic Market Mayhem

November 20, 2018

Welcome to modern markets.

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6 Comments on ‘VaR-Down’, ‘Impossible’ Moves And Systematic Deleveraging: Nomura’s McElligott Documents Manic Market Mayhem

Tautologies, Perpetual Motion, Amazon And Alphabet

October 25, 2018

The titans must not fall.

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3 Comments on Tautologies, Perpetual Motion, Amazon And Alphabet

One Trader Thinks Millennial Investors Are About To Get Slaughtered

October 22, 2018November 13, 2018

“Ahhh… Millennials… You gotta luv ‘em.”

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1 Comment on One Trader Thinks Millennial Investors Are About To Get Slaughtered

After October Selloff, One Bank’s Clients Are The Most Underweight U.S. Stocks Since January

October 22, 2018

Make America first again?

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1 Comment on After October Selloff, One Bank’s Clients Are The Most Underweight U.S. Stocks Since January

One Trader ‘Would Love To Return To A Market Where Chasing The Hot Stock No Longer Works’

October 16, 2018November 13, 2018

“Great. I have now shown that fundamentals don’t matter and that chasing the hot stock is all one needs to do to outperform.”

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2 Comments on One Trader ‘Would Love To Return To A Market Where Chasing The Hot Stock No Longer Works’

Growth-To-Value Rotation Goes ‘Global’ With All Eyes On Netflix After Momentum Rout

October 16, 2018

Who knows, maybe Netflix can turn the tide.

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Who’s In The Mood For A Good, Old-Fashioned Momentum, Tech Rout?

October 10, 2018

More cowbell.

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2 Comments on Who’s In The Mood For A Good, Old-Fashioned Momentum, Tech Rout?

Don’t Blame The Quants For Wednesday’s Tech Rout

September 6, 2018

“Yesterday did not feel ‘quant-y’ to me.”

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In September, ‘A Tale Of Two Halves’ For The S&P?

September 4, 2018

So what about the September Momentum rally and the idea that hedge funds will keep “grabbing” for exposure?

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‘Epic’ Highs, FOMO And An October QT Hangover

August 30, 2018

A momentum surge and then, a quantitative tightening “triple-whammy”.

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Why September Is Ripe For A ‘Monster’ Momentum Rally, According To One Strategist

August 22, 2018August 22, 2018

Hint: seasonality.

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‘Out Of Mo”: Why One Man (Chris) Thinks Momentum Stocks And Strategies May See More Downside

June 26, 2018June 26, 2018

Of systematic selling and calendar effects.

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Monthly Letter+

  • Lost At Sea

    March 11, 2023March 11, 2023

Week’s News

It’s Not A Wage-Price Spiral. It’s ‘Greedflation’!

March 23, 2023March 23, 2023

Fed Delivers Dovish Hike Amid Bank Crisis

March 22, 2023March 23, 2023

Xi, Putin Revel In Pageantry As Show Of Defiance

March 20, 2023March 22, 2023

The Swiss Killed The CoCos

March 20, 2023March 21, 2023

Book Closes On Credit Suisse After 167 Years

March 19, 2023March 20, 2023

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Recent Comments

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Monthly Letters

Lost At Sea

March 11, 2023March 11, 2023

Exiles On Main Street

February 4, 2023March 11, 2023

That’s Great, It Starts With An Earthquake

January 22, 2023February 4, 2023

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