Quants Forced to Shed $225 Billion of Short Bets in Big Squeeze
- CTAs were caught out during the rally and saw falling returns
- Goldman, Deutsche Bank see room for buying in a flat market
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Fast-money quants were effectively forced to buy an estimated $225 billion of stocks and bonds over just two trading sessions, as one of Wall Street’s hottest strategies in the great 2022 bear market shows signs of cracking.
As cooling consumer price data sparked a cross-asset rally, trend-following traders were compelled to unwind short positions totaling about $150 billion in equities and $75 billion in fixed income on Thursday and Friday, JPMorgan Chase & Co. strategist Nikolaos Panigirtzoglou estimated.