Equity long/short bloodbath yesterday a combination of three factors — 1. Continued squeezes on widely held shorts 2. Heavy degrossing across the street, pressuring both longs and shorts, 3. Market down when l/s has been running a cycle high net exposure
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Even after heavy reduction in both gross and net book size, l/s are *still* above average on both metrics which implies more pain to come over the next few days.
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Next step I see is for this to roll up into equity quant market neutral which has been largely unscathed so far, but overlap with l/s will start putting pressure there too, especially as the factors driving overlap (momentum, short interest) start to pick up in volatility...
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Which will cause mechanical degrossing across quant emn books even if they are not yet suffering big losses.
12:36 AM - 28 Jan 2021
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