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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了有史以来最大的月度亏损</blockquote>

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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.<blockquote>做多/做空价值动量可以说，即使不是最受欢迎的量化策略之一，也是今年最受欢迎的量化策略之一，因为价值和价格动量因素都围绕着周期性复苏/通胀主题汇聚。但最近几周，特别是在上周联邦公开市场委员会会议之后，该策略遭遇了历史性逆转，根据拉普索恩的计算，出现了自 2002 年以来最严重的月度跌幅，周四 4.3% 的跌幅是我们价值动量因子自 1990 年以来第 14 个最糟糕的一天。</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，正如下一张图表所示，按月计算，多头/空头价值动量的月度下降幅度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）仍然强劲，2021 年所有全球预期变化中有 62% 是通过升级实现的，其中很大一部分是通过再通胀行业（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，尽管最近几周市场在通货膨胀主题上有所降温，但利润势头的故事仍然保持一致，尽管铜价已回落至 4 月中旬的水平，但油价目前已高于大流行前的水平。与此同时，拉普索恩总结道，增长速度正在放缓（在某个阶段不得不放缓），去年低迷的基数效应将过去，我们正在进入一个公司报告通常较为平静的时期。因此，宏观噪声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了有史以来最大的月度亏损</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了有史以来最大的月度亏损</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>随着所有的戏剧性和对通货膨胀故事的关注，尤其是在上周之后瞬态h法国兴业银行的安德鲁·拉普索恩 (Andrew Lapthorne) 指出，美联储的尴尬转向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，即使不是最受欢迎的量化策略之一，也是今年最受欢迎的量化策略之一，因为价值和价格动量因素都围绕着周期性复苏/通胀主题汇聚。但最近几周，特别是在上周联邦公开市场委员会会议之后，该策略遭遇了历史性逆转，根据拉普索恩的计算，出现了自 2002 年以来最严重的月度跌幅，周四 4.3% 的跌幅是我们价值动量因子自 1990 年以来第 14 个最糟糕的一天。</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，正如下一张图表所示，按月计算，多头/空头价值动量的月度下降幅度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）仍然强劲，2021 年所有全球预期变化中有 62% 是通过升级实现的，其中很大一部分是通过再通胀行业（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，尽管最近几周市场在通货膨胀主题上有所降温，但利润势头的故事仍然保持一致，尽管铜价已回落至 4 月中旬的水平，但油价目前已高于大流行前的水平。与此同时，拉普索恩总结道，增长速度正在放缓（在某个阶段不得不放缓），去年低迷的基数效应将过去，我们正在进入一个公司报告通常较为平静的时期。因此，宏观噪声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":{".SPX":"S&P 500 Index",".DJI":"道琼斯","SPY":"标普500ETF",".IXIC":"NASDAQ Composite"},"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":{".IXIC":0.9,"SPY":0.9,".DJI":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":883,"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":4,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/123446808"}