Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss

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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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Newbie88
·2021-06-24
Good
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- Newbie88:
  Ok
  2022-05-27
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- koolgal:
  ??
  2021-09-13
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Yjy
·2021-06-23
Cool
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Kovin
·2021-06-23
Nice
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Jeanp14
·2021-06-23
Investing isn’t easy ?
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- ditti:
  y
  2021-06-23
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Shihaoyap
·2021-06-23
Wow
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dandan_4896
·2021-06-23
I feeling so sleepy in ofc haha
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- Boazz:
  Tired
  2021-06-25
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- Joker猫:
  听七龙珠主题曲
  2021-06-23
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土金水木火
·2021-06-23
Like and comment
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AhChong
·2021-06-23
Nice
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土金水木火
·2021-06-23
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Showcase
·2021-06-23
Nice
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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. 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. 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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,"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},"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},"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,"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 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