stat arb breakdown

D

dubes

I find myself reading this board and writing a first post because of the utter frustration of the last few weeks. I run a very small automated stat arb/market neutral equity trading system and I have some experience in the industry, but these days I work entirely alone.

Back in July/August 2007 the quantitative funds saw their first breakdown and for those who were able to stick it out, the huge losses were eventually made back. I observed a similar breakdown culminating on March 17, 2008 with the BSC collapse, but once again profits came back quickly.

A third breakdown seems to be happening now, but I haven't got a clue as to the cause. Are large quant funds unloading? Are hedge funds preparing for June 30 redemptions as reported in the WSJ? Does anyone have other thoughts as to what is at play.

Thanks.
 
hmm can't confirm that. Mine is ~ -0.35% for June so far on 3x gross leverage. Equity curve has basically been grinding sideways since mid April, but always within 1-2% of equity peak.
 
my correlations have been unwinding considerably in the past month. the increased vix has given me a false sense of hope as well. i can say without a doubt this is my worst month so far this year.

edit: consistent breakouts of 52wk highs have been my largest bane
 
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