WorldQuant Down 1B
There's a rumor circulating around the street that WorldQuant was down $1B YTD, after MLP grossed up their exposure at the end of 2022. Anyone have additional color?
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True, they are the reason why MLP is the only MM down ytd.
However, looks like the emoragy has stopped.
No idea if it's true or not. But isn't WorldQuant mostly stat arb? And wikipedia says their AUM is ~9 billion? If a stat arb strategy really lost that much money that quickly, then something is deeply wrong.
Stat arb is supposed to do thousands of small uncorrelated bets. Maybe all those bets could go sour at once if there was some big unexpected news (like the start of covid, or a financial crisis, or the ukraine war, etc) but there wasn't any particularly unexpected big news this year so far. If they really lost 10% of their AUM in a month and a half then that implies they're far too concentrated on a small number of trades.
RIght now in Feb they are recovering quite well. Last year due to having great profit, they increased their book size to 50/50B,(quite drastic) so many speculate that might have contributed to many changes weights or position. It's still not clear why they lost so much money. Still figuring out the exact cause.
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