Oct. 10 (Bloomberg) -- Morgan Stanley, the world's second-
biggest securities firm, said its quantitative strategy traders
lost $390 million during a single day in August as their computer
models failed to account for widespread'' investor selling.
The company's traders lost money on 14 days during the
quarter ended Aug. 31,with the largest single-day trading loss
being $390 million,'' the New York-based firm said in a quarterly
regulatory filing today.
Morgan Stanley said last month that the quantitative
strategies group lost $480 million during the quarter after they
were caught off-guard when other investors sold securities to
reduce borrowings. The company disclosed today that daily trading
losses during the quarter exceeded the firm's trading value-at-
risk calculation on six days during the quarter.
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That'll teach those nerds.. jokes apart. The quant rout was widespread across the banks. Now there are more than 10 papers out researching what happened. One of them is http://web.mit.edu/alo/www/Papers/august07.pdf for your kind perusal!
said they lost > $100 MM on 6 days for the quarter.
that's pretty steep.
but they made > $100 MM on 18 days during the quarter.
so it's all about balancing your risk
that's a lot to be whipping around.
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