macrocephalopod

True they don’t like an outlier — but there’s a spectrum. Worst kind of outlier is to lose money when the market is also down big (Mar 2020). Second worst is to lose at the same time as other funds (Jan 2021 to some extent but by no means all funds).

Losing money in a totally idiosyncratic way can actually be looked on favourably by smart allocators, because it’s diversifiable and the existence of the drawdown proves the existence of the risk premium the fund is trying to capture.

too many people that claim to (and) do different things lost money on the same month though.

In Mar 2020 yes. Is that true in Jan 2021? As far as I can see the biggest losers are all long/short funds with big portfolio overlap.

I expected, and prepared for, contagion into other strategies like quant equity, global macro, fixed income RV, various arb strategies - but that hasn’t happened (yet)

systematic factor was BRUTAL this month

almost everyone except unlevered asset class RV and some RP and some GM had a horrible period last 12m. its been a meat grinder for anyone with leverage. heart attack EKG p&l

Which systematic factor was brutal... stuff I’m seeing is up this month (although stuff like momentum, value, quality etc are things we hedge, not sources of alpha, maybe that makes a difference)