August 16, 2007

Quant "Bloodbath" - The continuation

For what it's worth, the same stocks I noted as having unusual price action last Thursday are having the same action today.  Some of these stocks are up 9% in a down market, just like they were last Thursday.  Are quant funds still unwinding?  It looks suspicious to me, albeit less pronounced (so far).  (Update: London hedge fund liquidating?  Hard to say if this is rumor or joke.)  (Update III: Moody's warns of potential major hedge fund collapse).

Update II from a Jon Markman article (emphasis mine):

He believes that gigantic funds focused on statistical arbitrage, such as ones run by Barclays Global Investors, quietly became the biggest owners of small-cap value stocks in the past couple of years and are now in the process of dumping them wholesale in response to unexpected performance troubles. Once the mass selling is complete, which he expects will be by the end of September, he thinks the market will catch its breath and re-evaluate the prospects of individual companies again.

From around the web:

The Wall Street Journal compiles hedge fund "Dear Investor" letters, with commentary by DealBreaker and by COTSTimer.

Merle Hazard's "H-E-D-G-E" music video via footnoted.

From market makers to volatility makers.

Rick Bookstaber on creating a differentiated hedge fund product. (Update: but is differentiation even possible?)

The Aleph Blog has a good roundup.

Leverage beyond your means at Goldman for a "25 standard deviation event", but the fees are now free.

What happened when we had a credit crunch in 1966 or 1970?

August 12, 2007

Quant "Bloodbath" - The lessons learned

There's quite a bit of commentary out about the "10,000 year" bloodbath the quants have been experiencing for the past few weeks.  I'll summarize some of it, then add my own thoughts, and then getting back to the point of this blog, summarize what it means for CASTrader.

What blogs I read think.  First, Abnormal Returns consistently has a roundup of the current market pulse and regularly expands on a current theme of the day, such as the bloodbath in more detail.  Zero Beta previously warned about the dangers of the hedge fund "black box" quant models, and in an aftermath post, points the finger at leverage, finding a source that indicates these funds typically run 3 to 10 times leverage.  Paul Kedrosky thinks fat tails and "10,000 year" events are the wrong way to look at things.  Kedrosky believes there is a mode of the markets that conforms to the statistical distribution model, but also one that is distributionless.   He makes the analogy of regime change in the markets being like schools of fish responding to a predator.  The Epicurean Dealmaker makes a similar analogy to Kedrosky's distributionless mode by describing the markets as being similar to and avalanche or failure of grains in a sandpile.  David Merkel at The Aleph Blog thinks the carnage is not over.  1440 Wall Street locates a defiant, "damn the torpedoes, full speed ahead" quant.

Updates: Is the fingerprint of Barclay's evident

Factor models gone bad?

Commentary from Lehman on what happened. (PDF) (via World Beta).  More analysis at DealBreaker.

Update II: Rick Bookstaber, author of Demon of our own Design, has analysis. (via Felix Salmon)

What I think.  Andrew Lo's Adaptive Market Hypothesis (AMH) gives an explanation for all of this, and confirms many of the above analyses, but uses a different analogy.  An excerpt from a post on the AMH I wrote last October:

  • Yes, you can make excess profits in the financial markets.  Opportunities for arbitrage exist (Grossman-Stiglitz Paradox), and may appear and disappear.  Rather than a trend toward ever increasing efficiency as EMH implies, efficiency ebbs and flows with market euphoria, panics and crashes.
  • For awhile, anyway. Risk/reward relations are unlikely to be stable over time.  Opportunities appear and disappear.  Risk premiums are shaped by the participants in an evolutionary manner based on their past experiences.  (People who have never experienced a bear market may demand less risk premium)
  • Thus, investment strategies wax and wane, too.  Methods that worked before may fade, only to surface again when market conditions dictate.
  • Innovation is the key to excess returns.  An investor must adapt to the changing conditions to keep their excess returns flowing.
  • Changing conditions can make you extinct in the markets.  Think dinosaurs, think LTCM.
  • ...

    Another point that Lo talks about, but really doesn't drive home as an implication of AMH is how dominant agents can implode suddenly, being too "adapted" for their own good.  Dinosaurs grow too big for their own good and when the environment changes, they go extinct.  Hedge funds like LTCM can become highly leveraged, making a lot of money until they implode.  Ditto for Amaranth.

    On related note, I've become much more convinced by this episode that predator-prey relationships exist in the markets and that backtests are dangerous.  An excerpt from that post:

    Conventional backtesting systems that I am aware of do not attempt to measure how your system alters the market.  Prey-type backtests are based on the assumption of infinite liquidity, which isn't a bad assumption for small traders.  In fact, a perfect backtest could not possibly be performed on a predator system because you cannot possibly know apriori the exact consequences of your actions.

    The "45-year lookback models" that don't account for liquidity and other key ingredients of the AMH are of limited value, especially when running billions.  There's only so much alpha for a given model or strategy (and your fellow trader's models) to exploit.  If you're trading like everyone else - you're prey.

    What it means for CASTrader.  It's pretty simple: adapt or die.  As I also wrote in the AMH post:

    In my opinion, the Kelly Formula is the "secret sauce" that can optimize the chance for survival.  Get greedier than indicated by the Kelly Formula, and you'll eventually blow up; bet less than the Kelly Formula, and you'll be outcompeted by people who do.  The Kelly Criterion is the equilibrium survival state of the AMH.

    Kelly can only be applied when you know the odds and your edge, and it must be applied with great care, otherwise it can be hazardous to your wealth.  In an adaptive marketplace, the odds and your edge change - they are by no means static.

    August 10, 2007

    Quant Fund 'Bloodbath' - the aftermath

    Is it over?  It was a wild day, beginning with "mega-turnover," but stocks that I previously noted as having irrational behavior seemed to change course almost at the open today.  Stocks that were zooming up zoomed down and vice-versa.  Perhaps it was the money transfusion (more on that here), or perhaps bargain hunters swooped in.  If these stocks are indicators of the bloodbath, then the quant funds got a substantial reprieve today.

    Renaissance takes a hit. via 1440 Wall Street: Super Quant Jim Simons' Renaissance Tech reported an 8.7% loss on his $25B Institutional Equity Fund (Video) today, confirming earlier rumors (the text of Simon's letter here).  A 45-year look-back model suddenly went "out of whack over the first six days of August," according to David Faber.  There's speculation on the video that other traders "cracked the code" at Rennaissance and exacerbated the problems.  There's no confirmation I can find that SAC Capital was "running algorithms in reverse,"  but I agree it makes perfect sense.

    Other tidbits:

    Man Group shares slump on AHL Quant Fund redemption fear and delays it's historic hedge fund IPO (more here).

    World Beta provides some evidence of both long and short portfolios he tracks both losing value.

    Goldman Sach's Global Alpha is (was) apparently down 26% for the year (more on this rumor) and closes it's North American Equity Opportunities Fund and rescues Game Group which was rumored to be impacted by long/short fund liquidations at Citadel, according to the link.

    Whether the bloodletting is over or not, one thing is for sure, redemptions are looming and the impacts of losses will be felt.

    Quant fund 'blood bath' update

    As the "worse than LTCM" credit crunch continues, new details about the quant hedge fund bloodbath that I discussed in the previous post have emerged.  Ironically, the LTCM "trio" recently reunited to form a quant fund.  First, a theory of what's going on (emphasis mine):

    To stem possible losses, the managers sought to scale back their leverage. But selling the illiquid credit products risks uncovering even deeper losses as the credit positions were marked-to-market instead of marked-to-model, so these managers likely de-levered by selling more liquid assets—namely, US stocks.

    “As these managers unwound significant factor based portfolios, these factors started to behave in unexpected and potentially troubling ways. Short names started to rally and long names started to fall as these trades started to hit the market. As most quantitative managers use similar quantitative factors, this abnormal factor phenomenon was not confined to a few funds. Rather, a large number of quantitative managers have seen their models begin to behave in unexpected ways. Again, it is no longer only the multi-strategy managers, but now pure quantitative equity managers who have started to see their portfolios ‘misbehave,’ both U.S. domestic and global fund managers,” explains Lehman Brothers analyst Matthew Rothman in a memorandum published today.

    Now rumors are flying (via Scurvon Investing), including that Super Quant DE Shaw is down (update) and Jim Simons' fund is affected; and SAC Capital is "running algorithms in reverse" to profit.  More rumors: a second Goldman Sachs fund is unwinding.  Meanwhile, confusion reigns.  Update: yet more rumors.

    Tykhe Capital (founded by DE Shaw refugees) is apparently down 20% in August alone.  (Update:  Tykhe goes on record to say losses are between 17% and 31% in August).  Black Mesa is (was) apparently largely in cash now sitting on the sidelines, afraid of a spiral of 'me-too' liquidations.

    Bruce Chadwick has more:

    I have several friends who manage quantitative portfolios across a range of asset classes, and they have pretty much *all* been having a very difficult time over the past few weeks as the subprime mortgage crisis provokes a crisis of leverage and in turn provokes a liquidity crisis which then provokes an asset crisis.

    ...

    The remarkable thing about the present situation is how small the real trouble in the subprime market sector really is, and yet how large an effect it is having.

    ...

    The problem is - what to do when there is a major contraction of liquidity and computers in charge of substantial sums need to sell and cover positions. If the quantitative models are similar enough, then the computers from a number of funds are all likely to be instructing traders to be buying and selling the same sets of securities.

    I suppose the good news is that during a "quant fund crisis," stocks are likely being bought and short covered in equal amounts.  (Update: even some shorts are losing money).  A market neutral hedge fund unwind would be expected to create a relatively market neutral but volatile crash.  Perhaps it's already over.  Then again, one wonders: who's next?  For all the hoopla and hysteria and the hedge fund implode-o-meter (via Prudent Investor), this still isn't even a 10% correction in stocks.  Perhaps today will tell the tale:

    Russell is intensely jumpy. But Thursday night he wrote that the Dow Theory sell signal had not been confirmed: "The good news: the July lows are still intact and the new lows are contracting. The bad news Selling Pressure is rising to new highs, and an increasing number of people want "OUT" of this market. Tomorrow is Friday, and by tomorrow's close we'll see how many traders are willing to hold stocks over the weekend. Fridays are always significant in rotten markets."

    Update: "Perfect Storm" for quant fundsFINTAG is on top of the news.

    Mahalanobis has more on the ins and outs of stat arb.

    August 09, 2007

    Quant Turmoil and Volatility Harvesting

    Some quant funds have had heavy losses (WSJ) just in the past few weeks.  Some so-called market neutral funds have been hit hard according to this MarketWatch article (emphasis mine):

    Black Mesa Capital, a hedge-fund firm that uses computer models to track down investment ideas, said that at least one large hedge fund or investment bank is liquidating "massive" trading portfolios, according to a letter the Santa Fe, N.M.-based firm sent to investors Wednesday.

    The warning is causing disruptions and triggering big losses among other so-called market-neutral hedge funds, Black Mesa said in its letter, a copy of which was obtained Thursday by MarketWatch. "Clearly, something is amiss in the markets that few in our strategy, if anyone, have experienced before," Black Mesa's managers, Dave DeMers and Jonathan Spring, wrote. DeMers declined to comment Thursday.

    The firm's hedge fund, which has about $1.9 billion in long positions and $1.9 billion in short positions, was down roughly 7.5% this month through Aug. 7. Those losses could grow to as much as 10% for August so far,

    The article continues:

    Two hedge-fund investors who didn't want to be identified said Thursday that the current turmoil is reminiscent of the collapse of Long-Term Capital Management in 1998.

    Update: More via Calculated Risk.  More on Goldman Alpha.

    Update II: More on the quant fund pain with an in-depth commentary on what it means, and this quote Bear Stearns-esque quote from David Faber/CNBC: "This is the worst 5 days that [quant funds have] seen in the last 20 years.”  Tykhe capital reportedly loses 20% in August alone.

    Market neutral strategies are often long a massive pile of stocks and nearly equally short a massive pile of stocks as Black Mesa is (was?), hoping their strategies pick good longs and shorts.  In a downturn like the past couple of weeks, these funds should in theory not even notice it, yet it would appear they are clocking losses equal to or exceeding the market.  Alpha has suddenly turned to magnified beta.

    Update III:  A Lehman analyst has a theory what's going on with the quants.  Update IV: the first week with a 2% up and 2% down day since March 2003.

    Volatility Harvesting.  Volatility harvesting methods like the Shannon Method that I currently follow for my own investments typically profit from the normal ups and downs of the market, as long as you aren't trying to catch any falling knives.  These methods buy on the way down and sell on the way up.  Since the market peak yesterday afternoon through close today, some very unusual events have occured.  While the approximately 3-4% drop in the markets over that period would normally trigger 4-5 trades, likely all buys, I've seen 18 trades, with sells nearly equalling buys and my portfolio tracking the market.   What this means is that there is a huge amount of turmoil in many of the individual stocks I track, but it's not all down.  This is consistent with a long/short market neutral unwinding described above, and it's the most unusual period I've seen since running this method beginning Summer, 2003.  Perhaps my portfolio is just unusally concentrated in stocks the quants play with.

    A New Indicator.  It's a phenomenon that needs it's own indicator, in my opinion.  Call it the "unwinding indicator" or something similar, but there isn't a good indicator to track this phenomenon that I'm aware of.  Certainly volatility measures it indirectly, but it doesn't fully quantify what's going on under the surface and is somewhat tainted by market directional moves.  Perhaps the ratio of the number of 1% days for a market's components vs. the market would capture the turmoil.  High ratios would indicate unwinding, low ratios would indicate levering.  If possible, volume would be incorporated as well.

    Update:  Credit Unwinding, and the carry trade unwinding that happened before.

    August 08, 2007

    Financial Engineering: USA v. Asia

    China/Asia may be gutting the US manufacturing sector, but when it comes to money, a few recent items indicate there's more than a few dollars flowing the other way:

    Alea highlights a very interesting article regarding leading US investment banks and the sub-prime fiasco.  In what appears to be a brilliant on-the-fly move, they anticipated the crunch and created a new derivative to hedge their exposure.  The article indicates they may actually make a bundle off it.  Who's on the losing end?  Asia and Europe.  Some European banks appear to be on the winning end.

    Not off to a good start, buying at what has been called the Blackstone Peak:  China's overseas investment fund's first investment was in the Blackstone IPO and gets clobbered, sparking anger in ChinaBlackstone chart.

    China threatens the nuclear option to sell dollars.  It seems to me like this would hurt China more than the US, but no doubt US investment banks will be hedged.  Other Asian tigers may feel compelled to buy dollars.

    Of course, there's always seigniorage and the benefits of being a reserve currency.

    The money flow is by no means one-way.

    August 07, 2007

    Super Quants Update

    Awhile back, I profiled a few of the Super Quants.  I've collected a few articles on what they're up to lately.

    James Simons/Renaissance. Simon's firm is hiring a programmer for a starting salary of $125K-$250K, even as "tantalizing tidbits" emerge from a lawsuit against former employees.  They are also launching a $25B managed futures fund, which Mebane Faber deconstructs in superb detail.  Some wonder if Simons is running out of alpha in other funds, but still manages to leap from #26 to #6 in assets. (Peak alpha of $30 billion, anyone?).  Some wonder if Simons, Shaw and others are just glorified market makers.  Meanwhile, Simons donates to the Hillary campaign and puts some cash in a buyout fund.  Simons says he was lucky and offers inspiration and a lot of tidbits on how he did it (from the article, I infer that Simons basically started in his late 30s, giving hope to old quants everywhere). Before they were Super Quants: Me and Jim Simons - groovy, but no comment.

    D.E. Shaw.  Shaw aquires insurer James River, will invest $1B in India (more here), and contemplates a private equity fund (read the article for good commentary and why this may be the trend of the future), while Lehman aquires a 20% stake in Shaw, and Shaw places #4 in assets.

    Ken Griffin/CitadelGrave dancer or white knight? (Citadel buys Sowood assets - more here)  Griffin: aiming to be a titan.  In Will a Hedge Fund become the next Goldman Sachs (meanwhile luring employees from them), lots of detail on Griffin are provided, including how Citadel has become the leading options market maker, bought Amaranth assets, and is "arrogant, unapologetic and extremely smart."  More on Citadel's plans here, with indications they are planning to go public.  Meanwhile, he opposes new taxes on himself (a statement for which he was skewered by Bill Gross), and maxes out donations to Obama.

    Meanwhile Elwyn Berlekamp solves a problem about hats.

    August 05, 2007

    The Murky World of the Monetary and Banking System

    Money, on the face of it, seems pretty simple, but it's kind of like the sausage factory.  Our modern monetary systems around most of the free world, as I understand it, are fractional reserve banking systems.  This means our monetary system is debt-based, which has some apparently startling implications to some (from Wikipedia, emphasis mine):

    Robert H. Hemphill, credit manager of the Federal Reserve in Atlanta stated: “If all the bank loans were paid, no one would have a bank deposit and there would not be a dollar of coin or currency in circulation. This is a staggering thought. Someone has to borrow every dollar we have in circulation, cash or credit. If the banks create ample synthetic money we are prosperous; if not, we starve. When one gets a complete grasp of the picture the tragic absurdity of our hopeless position is almost incredible, but there it is. It (the banking problem) is the most important subject intelligent persons can investigate and reflect upon. It is so important that our present civilization may collapse unless it becomes widely understood and the defects remedied very soon.

    I'd like to be at the hypothetical table when Cramer and this guy got together for a few beers after the Bear Stearns conference call.  What does synthetic money in the above quote mean?  Well, if you thought your government created all the money, you'd be wrong.  They actually only create a fraction of it such as in the form of coinage and paper money, among other things.  Private banks create much of it via loans.  The central banks have the delicate task of controlling how much money is created (or destroyed) via open market operations.  If you think about it, unless you're Tony Soprano, nearly all of the money you handle is non-physical, and nearly all this money is created by regulated private banks. 

    Seigniorage. Creating money out of thin air is, as you can imagine, quite profitable and is called seigniorage when a monarchy, bank or government does it.  If you do it yourself, say by color xeroxing $20 bills on a color copier, it's called counterfeiting, and you'd be in big trouble, bub.  If you deposit money in a bank (most likely by check or electronic payment), a fraction of that money is kept on-hand by the bank, and the rest is loaned out to say, finance a sub-prime mortgage.  In theory, money now exists in your account and as a loan.  That loan money is used to pay builders who deposit the profits and the process continues ad-infinitum.  Of course, it's more complicated than that with the Federal Reserve (which is actually quasi-private) involved as well as banking regulations, but you get the idea.  Conspiracy theories about all this abound ever since the Federal Reserve Act of 1913 basically created the current system.

    Seigniorage and Inflation.  If the money supply inflates, seigniorage obviously does too.  A cynical view would say that those who create money can kick back and relax during inflation, while the rest of us have to work hard to keep ahead of it or stay even.  Somewhere I read that a dollar today is worth about $.04 in 1913 dollars. Hiding money under a mattress just doesn't pay.  In 1971, we adopted Chartalism, as the rest of the world did or had previously done.

    Currency.  Money is emotional and political, of course, and there are people who want to abolish the current system, making the State the only authority to create money (seigniorage reform) and profit from it.  There are those at the other end of the spectrum who want to give nearly anyone the authority to be a bank (free banking).   No matter who within an economy profits from seigniorage, the nation or entity that controls the currency, controls the profits from it.  If yours happens to be a reserve currency, you control the seigniorage profits from creating the reserve currency, among other benefits.  There are people who don't like that (not one bit), and I never really understood why the Euro was created until I discovered this.  To the extent the Euro replaces the Dollar as a reserve currency, subsidies will flow to Europe rather than the US, and US banks I would think would see less profits.  It's pure speculation, but to the extent the subprime mess increases that trend, it will have a greater impact.  (Update: a WSJ list of fallout).

    In a future post, I'll try to decipher what all this means for CASTrader

    August 03, 2007

    New Blogs I read

    Everytime I turn around, I find new and interesting financial/quant blogs, like over the past few days when I caught up on the backlog of 5000 or so posts jammed up in my RSS reader.  It's good to see what others are up to, and there continues to be a relative explosion of activity of people sharing information.  In no particular order:

    Enhyper - "Financial Engineering, High Performance Computing and Data Visualisation."  Posts include: A Design Pattern Template for High Performance Messaging, Elements of High Performance Computing, A Lesson in Simplification: Heuristic methods, Genetic Algos and NP Complete Problems, News Analysis for Program Trading, Grid Computing Slowly Falls from Grace.

    One Unified - This is a multipurpose site by Ray Burkholder with a blog that includes some posts on programming-, quant- and trading-related stuff.  Posts include:  Opportunities for High Frequency Traders, Trading Sites of the Day -- ETFs, Day Trading, Short Time Periods, and Futures Trading.

    Minds and Markets - Khurram Naik is a researcher at Northwestern University and former futures broker.  Posts include: The ontological role of derivatives, What are the futures markets for?  and Behavioral Economics: A Primer.

    Nerds on Wall Street -  A hopefully not dead blog by "Longtime financial markets AI geek" David J. Leinweber.  Posts include:  Stupid Data Miner Tricks, Algo vs. Algo,  and Information Driven Price Moves: A Case Study.

    The Aleph Blog - by David J. Merkel, a commentator at RealMoney.com and senior investment analyst at Hovde Capital.  Posts include: For Wonks Only:  The Math of Volatility-Mean Reversion, and More Slick VIX Tricks.

    The Financial Whiz - "Investment Strategies using Options, Currencies, and ETFs" by Brian Moore, a senior Finance Major at the Indiana University of Pennsylvania (yes there is such a place).   Posts include the Chinese Yuan Carry Trade Basket, Investment Strategies Carnivals, and How to Create Synthetic FOREX Currency Trading Pairs.

    Neural Market Trends - "Using Neural Nets and AI to model trends in the markets." by Thomas Ott.  Posts include: When Traders Blow UpUnderstanding Fuzzy Trend following in EXCEL, and Backtesting the S&P500 Volatility Timing Model.   

    More finance and quant blogs here and here.

    July 31, 2007

    Still Booming (and hedging)

    Still Booming. 100_1429_2I'm still getting hammered by other projects such as one involving the dam at left.  Inbetween these, I'm taking some breaks for much needed RnR such as mountain biking.  It's really become apparent how much the energy boom in oil country is starting to impact all sorts of things unrelated to energy.  It's also apparent from my perspective that to the degree energy prices stay as high as they are (update: Energy Blowoff?), they will begin to spread this persistent component of inflation around.  It's not just that the cost of energy that gets passed around - attraction of skilled people by energy companies to help exploit the boom mean that other industries are going to be hit with labor shortages and higher labor costs.  Since energy employs a diverse skillset that overlaps other unrelated industries, the impacts can be felt relatively far and wide, at least around oil country.  Despite the apparent housing crash, home prices in certain parts of oil country as far as I've seen are booming.  A substantial portion of the economy is switching to the exploration and production of energy and/or alternative sources.  Business plans are being written as we speak to divert yet more resources to take advantage of the need for energy.  These are jobs and costs that can't really be reduced by outsourcing to China and India and are dependent only on the price of energy.  Coupled with persistent high commodity prices, I think the impacts will continue to filter through the economy. (Update: CXO Advisory discusses an interesting paper on energy inflation and the Federal Reserve).

    Hedging.  During my hiatus from blogging, I began scaling into a hedge on the market by selling LEAP calls against the general market.  Having generally been long the markets since Summer, 2003, so this is a significant change for me.  I am keeping my longs, and essentially setting up a buy-write position on the market, even though my long stocks and my Shannon trading strategy don't entirely mimic the underlying market.  Fortunately, I scaled in and sold 2/3 of the options before the recent market hiccup.  Unfortunately, I missed selling the other 1/3 and am loathe to do so now.  My reason for hedging wasn't that I necessarily believe the bearish scenarios (link via The Big Picture), rather, it was that I was highly skeptical that the market could advance far enough that the options would lose more than the collected premium.  It's a portfolio optimized for a generally sideways, slightly up or down stock market rather than a zooming or plunging one.  To the extent the market is volatile as well, I'll be a happy investor because the Shannon strategy will harvest volatility profits.

    CASTrader.  None of the above has anything to do with CASTrader, of course, but in the near future, I'll hopefully be back to somewhat regular posting.