massive single name realized vol, they shoulda made money...
Seeing a lot of glee over Citadel’s -3% January return — but honestly I would love to be caught up in a once-in-an-epoch short squeeze combined with massive hedge fund deleveraging and only lose 3%
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In securities yes, the -3% is the hedge fund return
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No - Melvin was down ~50% on their GME position which was up ~1200% (plus losses elsewhere). Cit certainly had a much smaller position in GME, but would have got caught up in general deleveraging (shorts going up and longs doing down) in the last week of Jan.
End of conversation
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how about last march they and millEnyYum
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No insider knowledge or axe to grind here, but I would think with the data flow they have from various facets of the organization that they were uniquely well suited to minimize the damage from this particular event. Likely didn't mind seeing competitors losing 3-10x as much.pic.twitter.com/2Bc9FVsGCy
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Probably down about 2bps on an unleveraged basis.
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When you have Yellen and Bernanke on your payroll, you somehow tend not to lose.
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Hedge Fund lost 3%, securities up 10%
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They tend to hedge their factor risk aggressively (of which “high short interest” is one) Other pods much more aggressive running 10-20% net directional factor risk (typically small alpha, but this time a 7 standard deviation move...)
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