Did you really think I was going to leave you for the weekend to plough through
thousand words on LSS-backed ABCP backstops? I’m nicer than that. Instead,
enjoy my
man Baruch:
If scurrilous gossip is true, and it normally is, I do not think things have
got much better for the Quants, some of whom apparently decided to replace
their moribund mean reversion strategies after August with factor-based, directional
strategies which relied excessively on momentum — this is technically
known as the “Buy Stuff That Has Gone Up a Lot And Cross Fingers”
Strategy.
There’s more where that came from: go read the whole thing. And happy belated
Thanksgiving.