{"id":41321,"date":"2020-04-14T09:29:00","date_gmt":"2020-04-14T13:29:00","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=41321"},"modified":"2022-11-21T09:45:20","modified_gmt":"2022-11-21T14:45:20","slug":"quant-drawdowns-march-2020","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/quant-drawdowns-march-2020\/","title":{"rendered":"Quant Drawdowns March 2020"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\"><strong><em>Excerpt<\/em><\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In March, a wild month in the markets, most of the factors we track \u2013 across sentiment, digital, and especially factor momentum \u2013 outperformed, while simple reversal strategies had their worst intra-month returns in recent history before rebounding massively in the last half of the month.&nbsp; What happened?<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Here we dig into the returns of several factors to uncover some of the drivers of the month\u2019s quant performance, and offer a few possible explanations.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Basic Reversal<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Below is a simple chart of dollar neutral gross returns of equally weighted portfolios, based on going long and short the extreme deciles of trailing 5-day return reversal, rebalanced daily, in developed markets.&nbsp; This is just about the most basic \u201cstat arb\u201d strategy you can run, and while it\u2019s not a great strategy of course, it does represent a boiled down version of what underpins a lot of mid frequency stat arb reversal.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1037\" height=\"714\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-returns-by-region-march-2020.png\" alt=\"Quant Drawdowns March 2020\" class=\"wp-image-41659 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-returns-by-region-march-2020.png 1037w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-returns-by-region-march-2020-700x482.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-returns-by-region-march-2020-300x207.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-returns-by-region-march-2020-768x529.png 768w\" data-sizes=\"(max-width: 1037px) 100vw, 1037px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1037px; aspect-ratio: 1037\/714;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Check out that Y axis.&nbsp; This is just long minus short without additional leverage!<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Just to put the magnitude of this drawdown into context, here\u2019s the same chart for the US, going back over time:<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1037\" height=\"570\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-return-since-2003.png\" alt=\"\" class=\"wp-image-41658 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-return-since-2003.png 1037w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-return-since-2003-700x385.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-return-since-2003-300x165.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-cum-return-since-2003-768x422.png 768w\" data-sizes=\"(max-width: 1037px) 100vw, 1037px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1037px; aspect-ratio: 1037\/570;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">And here are the daily returns\u2019 Z scores, using an expanding window to calculate the average and standard deviation.&nbsp; The 17th and 18th were 10-standard-deviation negative events, and the 19th was a 20-standard-deviation positive event,&nbsp;<em>even after taking into account all previous days\u2019 moves&nbsp;<\/em>including August 2007, the first 10+ standard deviation event on the graph (you can see my article about the 2007 Quant Crisis&nbsp;<a href=\"https:\/\/www.linkedin.com\/pulse\/quant-quake-10-years-vinesh-jha\/\">here<\/a>).<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1037\" height=\"583\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-z-score-since-2003.png\" alt=\"\" class=\"wp-image-41657 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-z-score-since-2003.png 1037w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-z-score-since-2003-700x394.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-z-score-since-2003-300x169.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/basic-reversal-z-score-since-2003-768x432.png 768w\" data-sizes=\"(max-width: 1037px) 100vw, 1037px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1037px; aspect-ratio: 1037\/583;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Visit ExtractAlpha to read about the <strong>Common Risk Factors<\/strong> and <strong>Technical Factors (Tactical Model, Factor Momentum, and Residualized Reversal)<\/strong>:<br><a href=\"https:\/\/extractalpha.com\/2020\/04\/08\/what-happened-to-the-quants-in-march-2020\">https:\/\/extractalpha.com\/2020\/04\/08\/what-happened-to-the-quants-in-march-2020<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Vinesh Jha explains Basic Reversal, Common Risk Factors and Technical Factors (Tactical Model, Factor Momentum, and Residualized Reversal<\/p>\n","protected":false},"author":342,"featured_media":41647,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,350,341,344],"tags":[3803,7171,7172,305,7167,7168,494,7175,7169,7170,7174,7173],"contributors-categories":[13689],"class_list":["post-41321","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-ibkr-quant-news","category-quant-asia-pacific","category-quant-development","category-quant-regions","tag-alternative-data","tag-basic-reversal","tag-common-risk-factors","tag-diversification","tag-drawdown","tag-factor-momentum","tag-quant","tag-residualized-reversal","tag-reversal","tag-statarb","tag-tactical-model","tag-technical-factors","contributors-categories-extractalpha"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- 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