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.with the largest single-day trading loss
The company's traders lost money on 14 days during the
quarter ended Aug. 31,
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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