Do you know where the quants are?

Have anecdote. Will speculate irresponsibly

(Click for a more legible image)

The wheezing camel that is the carry trade had a couple more logs tossed on its back last week. The yen ran up 3.6 percent against the US dollar, with about half that coming Friday, while yields on the two-year Treasury slip-slided away to 3.43 percent, or 100 bps less than where they were Aug. 16, the day before the Federal Reserve Board flung open the discount window.

Of course, that selling late Friday afternoon had nothing to do with the margin hangmen, de-leveraging or any other variants of forced liquidation. Despite the fact that AAPL, GOOG and RIMM all made 52-week highs on Wednesday, and were down, respectively, 11.2, 14.2, and 17.3 percent by Friday’s close. BIDU made its 52-week high Tuesday, Nov. 6, and used its head start to spit up a nice round 20 percent before the weekend.

And that comment flying my way Saturday: “Many quants did tune down value and went big on momentum after the August debacle though...and momentum had been working way too well lately. Anyway, it’s pretty well confirmed that there is a hedge fund de-levering going on (not necessarily quant). It has something to do someone taking yen-carry a little too far.”

Gossip. Totally irresponsible. Stop it immediately. Especially that stuff about AQR’s Cliff Asness, and the IPO that never was, and his no-show at the University of Chicago Graduate School of Business beano on Friday, Nov. 2, where he was to collect the 2007 Distinguished Young Alumni Award.

And this is just as bad.

So keep an eye out for those investor letters. 

Comments

[Justin]

Look at the cross-rates.. AUD vs YEN or GBP vs YEN.. the one day move makes my head spin.