Hot take: If you take a basket of 200 "fundamental" long/short hedge funds (which are not the mo factor at pod shops), you will have the positions of a dozen big quant funds. So it is difficult to imagine quant funds are doing that well here other than via smallcap bias.
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Thanks. It is possible the broadness of the quant books across biases is helping here whereas a number of ELS funds with more concentrated books are getting squashed. I expect there is more factor neutrality in quant books too. But what I see today in Asia suggests more pain.
Yep agree this will eventually spread to quant as well, especially as realized factor vol picks up which cause mechanical delevraging across quant space
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Yes. Seeing a decent move in cross-factor vol for several days but seeing intra-factor being a bit messy today in particular. But as you say it should all spread to quant.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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