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...

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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

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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. 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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; 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