Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss

zerohedge2021-06-23

With all the drama and focus on the inflation story, especially after last week'stransitory hawkish pivot by the Fed, SocGen's Andrew Lapthorne points out that there have been some even more dramatic...

Source Link

Disclaimer: Investing carries risk. This is not financial advice. The above content should not be regarded as an offer, recommendation, or solicitation on acquiring or disposing of any financial products, any associated discussions, comments, or posts by author or other users should not be considered as such either. It is solely for general information purpose only, which does not consider your own investment objectives, financial situations or needs. TTM assumes no responsibility or warranty for the accuracy and completeness of the information, investors should do their own research and may seek professional advice before investing.

Comments

Newbie88
2021-06-24
Newbie88
Good
- Newbie88:
  Ok
- koolgal:
  ??
Yjy
2021-06-23
Yjy
Cool
Kovin
2021-06-23
Kovin
Nice
Jeanp14
2021-06-23
Jeanp14
Investing isn’t easy ?
- ditti:
  y
Shihaoyap
2021-06-23
Shihaoyap
Wow
dandan_4896
2021-06-23
dandan_4896
I feeling so sleepy in ofc haha
- Boazz:
  Tired
- Joker猫:
  听七龙珠主题曲

Leave a comment

{"i18n":{"language":"en_US"},"isChannel":false,"data":{"share":"https://ttm.financial/m/news/1195810880?lang=en_US&edition=fundamental","thumbnail":"","is_english":true,"pubTime":"2021-06-23 15:53","share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","id":"1195810880","market":"us","top_or_hot":-1,"title":"Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss","media":"zerohedge","content":"<div>\n<p>With all the drama and focus on  the inflation story, especially after last week'stransitory hawkish pivot by the Fed, SocGen's Andrew Lapthorne points out that there have been some even more dramatic...</p>\n\n<a href=\"https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss\">Source Link</a>\n\n</div>\n","source":null,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; margin: 0;line-height: 11px;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nTop Quant Strategy Just Suffered Its Biggest Ever Monthly Loss\n</h2>\n\n<h4 class=\"meta\">\n\n\n2021-06-23 15:53 GMT+8&nbsp;&nbsp;&nbsp;<a href=https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss><strong>zerohedge</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>With all the drama and focus on  the inflation story, especially after last week'stransitory hawkish pivot by the Fed, SocGen's Andrew Lapthorne points out that there have been some even more dramatic...</p>\n\n<a href=\"https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss\">Source Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"SPY","symbol_name":"标普500ETF","start_time":0,"source_url":"https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss","article_id":"1195810880","we_media_id":null,"thumbnails":[],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=1195810880","pubTimestamp":1624434839,"sourceInfo":null,"weMediaInfo":null,"summary":"With all the drama and focus on  the inflation story, especially after last week'stransitory hawkish","collect":0,"end_time":0,"defaultTopTitle":"zerohedge.com","property":[],"viewcount":null,"language":"en","relate_stocks":{"SPY":"标普500ETF",".IXIC":"NASDAQ Composite",".DJI":"道琼斯",".SPX":"S&P 500 Index"},"translate_title":"Top Quant Strategy刚刚遭受了有史以来最大的月度亏损","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{".DJI":0.9,".IXIC":0.9,".SPX":0.9,"SPY":0.9},"content_text":"With all the drama and focus on  the inflation story, especially after last week'stransitory hawkish pivot by the Fed, SocGen's Andrew Lapthorne points out that there have been some even more dramatic moves in factor performance in recent weeks.\nTake long/shortValue-Momentum, arguably one of, if not the, most popular quant strategies, which had been in the ascendancy this year as both Value and Price Momentum factors converged around the cyclical recovery/inflation theme. But in recent weeks, and especially after last week's FOMC, the strategy suffered a historic reversal, posting its worst monthly decline since 2002 according to Lapthorne's calculations,with the 4.3% loss on Thursday ranking as the 14th worst day for our Value-Momentum factor since 1990.\nAnd, as the next chart show, on a monthly basis, the monthly drawdown in long/short Value-Momentum has been the biggest on record.\n\nOther quant factors have done better: earnings momentum (bottom-up upgrades and downgrades) remains strong, with 62% of all global estimate changes for 2021 coming through as upgrades and with a high percentage of those upgrades coming through in the reflation sectors (Industrials, Basic Materials, Financial and Energy).\nSo, while markets have cooled on the reflation theme in recent weeks, the profit momentum story is still aligned, and while the copper price has retracted back to mid-April levels, the oil price is now above pre-pandemic levels. At the same time, Lapthorne concludes, the rate of increase is slowing (it had to at some stage), base effects from last year’s slump will be behind us, and we are entering a period when company reporting is typically quieter. So macro noise looks set to dominate for some time.","kind":null,"is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":128995203,"gmtCreate":1624497399002,"gmtModify":1703838367156,"author":{"id":"3581808842731888","authorId":"3581808842731888","name":"Newbie88","avatar":"https://static.tigerbbs.com/23b01beb5a243816e460690639bf52c0","vip":1,"crmLevel":2,"crmLevelSwitch":0,"authorIdStr":"3581808842731888","idStr":"3581808842731888"},"htmlText":"Good","listText":"Good","text":"Good","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":2,"repostSize":0,"link":"https://ttm.financial/post/128995203","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":101997234,"gmtCreate":1653615015530,"gmtModify":1663250320131,"authorId":3581808842731888,"author":{"id":3581808842731888,"idStr":"3581808842731888","authorId":3581808842731888,"name":"Newbie88","avatar":"https://static.tigerbbs.com/23b01beb5a243816e460690639bf52c0","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":128995203,"type":1,"supId":0,"prevId":0,"content":"Ok","text":"Ok","html":"Ok"},{"id":5852552,"gmtCreate":1631528873514,"gmtModify":1663233817145,"authorId":3559581955535845,"author":{"id":3559581955535845,"idStr":"3559581955535845","authorId":3559581955535845,"name":"koolgal","avatar":"https://static.tigerbbs.com/c05274d88ffc0434623e57350c52c70a","vip":2,"currentWearingBadge":{"badgeId":"c4ee29b388ff41cc8462b3b7ea00d1e2-1","templateUuid":"c4ee29b388ff41cc8462b3b7ea00d1e2","name":"Monthly Top Contributor","description":"Top 3 Contributors with the most and best Editor's Picks every month","bigImgUrl":"https://static.tigerbbs.com/b0cad6192443c33dca826a001250fbd4","smallImgUrl":"https://static.tigerbbs.com/5ccd98c646815ce7610b0df338e060cc","redirectLinkEnabled":1,"redirectLink":"https://ttm.financial/TW/9000980585","hasAllocated":1,"isWearing":1,"stampPosition":0,"hasStamp":0,"allocationCount":1,"allocatedDate":"2022.04.02","individualDisplayEnabled":0,"individualDisplaySort":0,"categoryType":2003},"crmLevel":6,"crmLevelSwitch":1,"individualDisplayBadges":[{"badgeId":"9427a906234c4b18a82ec3d7730b7fa8-1","templateUuid":"9427a906234c4b18a82ec3d7730b7fa8","name":"Star Contributor","description":"Have published 3 or more picked posts, and have published at least one picked post and participated in comments within 30 days","bigImgUrl":"https://community-static.tradeup.com/news/1866dcf97a73be1c330f85862546aedc","smallImgUrl":"https://community-static.tradeup.com/news/4f5c5fa8e2c7683bb5a7fce8753ee456","redirectLinkEnabled":1,"redirectLink":"https://ttm.financial/activity/market/2023/star-contributors/","hasAllocated":1,"isWearing":0,"stampPosition":0,"hasStamp":0,"allocationCount":1,"allocatedDate":"2024.11.15","individualDisplayEnabled":1,"backgroundColor":{"dark":"#675a37","tint":"#f9ebc2"},"fontColor":{"dark":"#ffffff","tint":"#ab7a0e"},"individualDisplaySort":0,"categoryType":2007}]},"repliedAuthorId":0,"objectId":128995203,"type":1,"supId":0,"prevId":0,"content":"??","text":"??","html":"??"}],"langContent":"EN"},{"id":123705814,"gmtCreate":1624437413538,"gmtModify":1703836663009,"author":{"id":"3583884757289843","authorId":"3583884757289843","name":"Yjy","avatar":"https://static.tigerbbs.com/c39b700ef189fa85ebc8950b8bca8421","vip":1,"crmLevel":1,"crmLevelSwitch":0,"authorIdStr":"3583884757289843","idStr":"3583884757289843"},"htmlText":"Cool","listText":"Cool","text":"Cool","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/123705814","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":123446808,"gmtCreate":1624436448204,"gmtModify":1703836632212,"author":{"id":"3582510694098672","authorId":"3582510694098672","name":"Kovin","avatar":"https://static.tigerbbs.com/ef18c44a571068fd1d9b437afe38a05f","vip":1,"crmLevel":2,"crmLevelSwitch":0,"authorIdStr":"3582510694098672","idStr":"3582510694098672"},"htmlText":"Nice","listText":"Nice","text":"Nice","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/123446808","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":123443771,"gmtCreate":1624436357793,"gmtModify":1703836628398,"author":{"id":"3581474862059346","authorId":"3581474862059346","name":"Jeanp14","avatar":"https://static.tigerbbs.com/d00dab9c572cde422dc929a92e26b806","vip":1,"crmLevel":4,"crmLevelSwitch":0,"authorIdStr":"3581474862059346","idStr":"3581474862059346"},"htmlText":"Investing isn’t easy ?","listText":"Investing isn’t easy ?","text":"Investing isn’t easy ?","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/123443771","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":4972735,"gmtCreate":1624438296552,"gmtModify":1663229798345,"authorId":3582063611426818,"author":{"id":3582063611426818,"idStr":"3582063611426818","authorId":3582063611426818,"name":"ditti","avatar":"https://static.tigerbbs.com/2566ca38eea90f53931296c3d19d66e5","vip":1,"crmLevel":4,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":123443771,"type":1,"supId":0,"prevId":0,"content":"<u>y</u>","text":"<u>y</u>","html":"<u>y</u>"}],"langContent":"EN"},{"id":123451746,"gmtCreate":1624436063585,"gmtModify":1703836615496,"author":{"id":"3570658912643767","authorId":"3570658912643767","name":"Shihaoyap","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":3,"crmLevelSwitch":0,"authorIdStr":"3570658912643767","idStr":"3570658912643767"},"htmlText":"Wow","listText":"Wow","text":"Wow","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/123451746","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":123429716,"gmtCreate":1624435554935,"gmtModify":1703836600708,"author":{"id":"3576232257279797","authorId":"3576232257279797","name":"dandan_4896","avatar":"https://static.tigerbbs.com/d8b00e27a4dd6f248e38c3d78f21f188","vip":1,"crmLevel":2,"crmLevelSwitch":1,"authorIdStr":"3576232257279797","idStr":"3576232257279797"},"htmlText":"I feeling so sleepy in ofc haha","listText":"I feeling so sleepy in ofc haha","text":"I feeling so sleepy in ofc haha","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":2,"repostSize":0,"link":"https://ttm.financial/post/123429716","repostId":1195810880,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":5008574,"gmtCreate":1624595123440,"gmtModify":1663229978443,"authorId":3574928573067520,"author":{"id":3574928573067520,"idStr":"3574928573067520","authorId":3574928573067520,"name":"Boazz","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":123429716,"type":1,"supId":0,"prevId":0,"content":"Tired ","text":"Tired ","html":"Tired "},{"id":4972032,"gmtCreate":1624435601276,"gmtModify":1663229798541,"authorId":3551964304619997,"author":{"id":3551964304619997,"idStr":"3551964304619997","authorId":3551964304619997,"name":"Joker猫","avatar":"https://static.tigerbbs.com/41f1954347c69652e22bedd6c017ecbc","vip":1,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":123429716,"type":1,"supId":0,"prevId":0,"content":"听七龙珠主题曲","text":"听七龙珠主题曲","html":"听七龙珠主题曲"}],"langContent":"EN"}],"isCommentEnd":false,"newsSizeData":{"likeSize":43,"commentSize":10,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":true,"deviceId":"web-server-community-laohu8-v3","version":"4.29.1","shortVersion":"4.29.1","platform":"web","vendor":"web","appName":"ttm","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/1195810880"}