Could you tell thought about buy long (speculatively, mid term) vietnem market VNM, VOF etf (diversify assets in a portfolio)? We see a huge volume to buy VNM and the price of VNM in the area of historical lows. In general, good indicators for economic growth
The momentum unwind on Thursday & Friday was wild. Haven’t seen that magnitude since early 2020. Definitely some people with this year’s “easy” trades getting unwound. Downside moves in defense & health care creating some interesting opportunities. Obviously the huge rally in low quality, cash burning zombies was the other side of the unwind (lower rates/tightening spreads). Probably some opportunities there as well but that requires a bit more bravery and timing skills. Looking forward to the follow up, take care.
yes, the 2 day move almost -10 sigma based on my daily database from 1984...primarily driven by short side of momentum. there is also a historical tendency for momentum factor to perform poorly in the early part of November...my sense is some strange post earnings season/year end effects...maybe more so in the last decade given growth of platform hedge funds (very sensitive to calendar year pnl)
Brutal.. I knew it was big but hadn’t run the rolling 2 day numbers. Interesting ideas on momentum’s early Nov. seasonality. I wasn’t aware of. I’ve seen studies on momentum having strong December/year end returns and strong quarter end returns typically with taxes or window dressing cited as prime drivers. (The reverse cited for why January is historically a rough month for momentum). I’ll have to think about the early Nov. weakness some more. Your ideas around post earnings and HF platforms are logical. Maybe something with mutual fund rebalancing or other seasonality impacts e.g. “Halloween effect” could have something to do with it as well.
Thanks, wild moves. The 2-day move in the short leg was absolutely massive. Looks like largest since.. Nov 2008. Seems you’re definitely on to something with the Nov. window. Perhaps the election cycles have a tendency to act as a catalyst for momentum shocks as well. Either way a good reminder of why to actively track the betas & variance of each leg as well as the l/s portfolio.
i don't know strikes or maturity and i don't have a specific view on NVDA quarter, but i'm biased to hold such positions after the market moves in the last 5wks.
Great insights Mr blonde, you are one of the only people I’ve personally paid for aside from all the broker research at work
thank you MD, i'm honored (and flattered) to have your support
Could you tell thought about buy long (speculatively, mid term) vietnem market VNM, VOF etf (diversify assets in a portfolio)? We see a huge volume to buy VNM and the price of VNM in the area of historical lows. In general, good indicators for economic growth
The momentum unwind on Thursday & Friday was wild. Haven’t seen that magnitude since early 2020. Definitely some people with this year’s “easy” trades getting unwound. Downside moves in defense & health care creating some interesting opportunities. Obviously the huge rally in low quality, cash burning zombies was the other side of the unwind (lower rates/tightening spreads). Probably some opportunities there as well but that requires a bit more bravery and timing skills. Looking forward to the follow up, take care.
yes, the 2 day move almost -10 sigma based on my daily database from 1984...primarily driven by short side of momentum. there is also a historical tendency for momentum factor to perform poorly in the early part of November...my sense is some strange post earnings season/year end effects...maybe more so in the last decade given growth of platform hedge funds (very sensitive to calendar year pnl)
Brutal.. I knew it was big but hadn’t run the rolling 2 day numbers. Interesting ideas on momentum’s early Nov. seasonality. I wasn’t aware of. I’ve seen studies on momentum having strong December/year end returns and strong quarter end returns typically with taxes or window dressing cited as prime drivers. (The reverse cited for why January is historically a rough month for momentum). I’ll have to think about the early Nov. weakness some more. Your ideas around post earnings and HF platforms are logical. Maybe something with mutual fund rebalancing or other seasonality impacts e.g. “Halloween effect” could have something to do with it as well.
putting together thoughts, but thought you might be interested to see the volatility.
https://twitter.com/MrBlonde_macro/status/1592274450233581569?s=20&t=SbggHW6bWWKZBeG71fDQ0A
Thanks, wild moves. The 2-day move in the short leg was absolutely massive. Looks like largest since.. Nov 2008. Seems you’re definitely on to something with the Nov. window. Perhaps the election cycles have a tendency to act as a catalyst for momentum shocks as well. Either way a good reminder of why to actively track the betas & variance of each leg as well as the l/s portfolio.
Worth waiting for
Great insights. Thanks for the update.
i don't know strikes or maturity and i don't have a specific view on NVDA quarter, but i'm biased to hold such positions after the market moves in the last 5wks.