JPMorgan Warns Of “Extinction Level Event” For CTAs After Worst Month On Record

Monday, February 26, 2018
By Paul Martin

by Tyler Durden
Mon, 02/26/2018

Last week, when looking at the latest weekly HSBC hedge fund performance report, we commented that while February was barely half-way done, it is already shaping up as the worst month in history for most quant, CTA and managed futures funds since the great quant blow up of August 2007. And not only: a quick look at the best and worst performers so far in 2018 shows a distinct skew to the downside, with the worst performing hedge fund down 25% in 2018 compared to the 14.5% return for the best.

However, by far the worst hit were the various quant, stat-arb, momentum and trend following funds: here the bloodbath was almost unprecedented as the following snapshot of quant/systematic/managed futures funds demonstrates:

The Rest…HERE

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