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2021-06-23

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Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss<blockquote>顶级量化策略刚刚遭受有史以来最大的月度损失</blockquote>

With all the drama and focus on the inflation story, especially after last week'stransitory hawkish

Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss<blockquote>顶级量化策略刚刚遭受有史以来最大的月度损失</blockquote>

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{"i18n":{"language":"zh_CN"},"data":{"magic":2,"id":123451746,"tweetId":"123451746","gmtCreate":1624436063585,"gmtModify":1634006167253,"author":{"id":3570658912643767,"idStr":"3570658912643767","authorId":3570658912643767,"authorIdStr":"3570658912643767","name":"Shihaoyap","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":1,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>Wow</body></html>","htmlText":"<html><head></head><body>Wow</body></html>","text":"Wow","highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/123451746","repostId":1195810880,"repostType":4,"repost":{"id":"1195810880","kind":"news","pubTimestamp":1624434839,"share":"https://www.laohu8.com/m/news/1195810880?lang=zh_CN&edition=full","pubTime":"2021-06-23 15:53","market":"us","language":"en","title":"Top Quant Strategy Just Suffered Its Biggest Ever Monthly Loss<blockquote>顶级量化策略刚刚遭受有史以来最大的月度损失</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1195810880","media":"zerohedge","summary":"With all the drama and focus on  the inflation story, especially after last week'stransitory hawkish","content":"With all the drama and focus on&nbsp; 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.<blockquote>所有的戏剧性事件和对通货膨胀故事的关注，特别是在上周之后瞬态h法国兴业银行(SocGen)的安德鲁·拉普索恩(Andrew Lapthorne)指出，最近几周，要素表现出现了一些更加戏剧性的变化。</blockquote> Take 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.<blockquote>做多/做空价值动量，可以说是最受欢迎的量化策略之一，如果不是最受欢迎的量化策略之一，随着价值和价格动量因素都围绕周期性复苏/通胀主题汇聚，该策略今年一直占据主导地位。但最近几周，尤其是在上周FOMC会议之后，该策略遭遇了历史性逆转，根据Lapthorne的计算，创下了自2002年以来最严重的月度跌幅，周四下跌4.3%，成为自1990年以来价值动量因素第14糟糕的一天。</blockquote> <img src=\"https://static.tigerbbs.com/caa6e5dd3b825a85e3d17a0a44121cc7\" tg-width=\"500\" tg-height=\"375\">And, as the next chart show, on a monthly basis, the monthly drawdown in long/short Value-Momentum has been the biggest on record.<blockquote>而且，正如下图所示，按月计算，多头/空头价值动量的月度下降是有记录以来最大的。</blockquote> <img src=\"https://static.tigerbbs.com/882eeb65a4cbed4956fa890405ad1d7d\" tg-width=\"500\" tg-height=\"370\"><blockquote></blockquote> Other 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).<blockquote>其他量化因素表现更好：盈利势头（自下而上的升级和降级）依然强劲，2021年全球预估变化中有62%是升级，其中很大一部分升级发生在通货再膨胀行业（工业、基础材料、金融和能源）。</blockquote> So, 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.<blockquote>因此，尽管最近几周市场对通货再膨胀主题有所降温，但利润势头的故事仍然一致，尽管铜价已回落至4月中旬的水平，但油价目前高于大流行前的水平。与此同时，拉普索恩总结道，增长率正在放缓（在某个阶段不得不放缓），去年经济衰退的基数效应将成为过去，我们正在进入公司报告通常更加安静的时期。因此，宏观噪音看起来将在一段时间内占据主导地位。</blockquote>","collect":0,"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<blockquote>顶级量化策略刚刚遭受有史以来最大的月度损失</blockquote></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: 12.5px; color: #7E829C; margin: 0;}\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<blockquote>顶级量化策略刚刚遭受有史以来最大的月度损失</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-06-23 15:53\n\n</h4>\n</header>\n<article>\nWith all the drama and focus on&nbsp; 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.<blockquote>所有的戏剧性事件和对通货膨胀故事的关注，特别是在上周之后瞬态h法国兴业银行(SocGen)的安德鲁·拉普索恩(Andrew Lapthorne)指出，最近几周，要素表现出现了一些更加戏剧性的变化。</blockquote> Take 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.<blockquote>做多/做空价值动量，可以说是最受欢迎的量化策略之一，如果不是最受欢迎的量化策略之一，随着价值和价格动量因素都围绕周期性复苏/通胀主题汇聚，该策略今年一直占据主导地位。但最近几周，尤其是在上周FOMC会议之后，该策略遭遇了历史性逆转，根据Lapthorne的计算，创下了自2002年以来最严重的月度跌幅，周四下跌4.3%，成为自1990年以来价值动量因素第14糟糕的一天。</blockquote> <img src=\"https://static.tigerbbs.com/caa6e5dd3b825a85e3d17a0a44121cc7\" tg-width=\"500\" tg-height=\"375\">And, as the next chart show, on a monthly basis, the monthly drawdown in long/short Value-Momentum has been the biggest on record.<blockquote>而且，正如下图所示，按月计算，多头/空头价值动量的月度下降是有记录以来最大的。</blockquote> <img src=\"https://static.tigerbbs.com/882eeb65a4cbed4956fa890405ad1d7d\" tg-width=\"500\" tg-height=\"370\"><blockquote></blockquote> Other 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).<blockquote>其他量化因素表现更好：盈利势头（自下而上的升级和降级）依然强劲，2021年全球预估变化中有62%是升级，其中很大一部分升级发生在通货再膨胀行业（工业、基础材料、金融和能源）。</blockquote> So, 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.<blockquote>因此，尽管最近几周市场对通货再膨胀主题有所降温，但利润势头的故事仍然一致，尽管铜价已回落至4月中旬的水平，但油价目前高于大流行前的水平。与此同时，拉普索恩总结道，增长率正在放缓（在某个阶段不得不放缓），去年经济衰退的基数效应将成为过去，我们正在进入公司报告通常更加安静的时期。因此，宏观噪音看起来将在一段时间内占据主导地位。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"SPY":"标普500ETF",".DJI":"道琼斯",".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/top-quant-strategy-just-suffered-its-biggest-ever-monthly-loss","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1195810880","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.","news_type":1,"symbols_score_info":{"SPY":0.9,".DJI":0.9,".SPX":0.9,".IXIC":0.9}},"isVote":1,"tweetType":1,"viewCount":1544,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":3,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}