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Portfolio123 » List all forums » Forum: General Comments » Thread: did anyone else get hit really hard today? 1/7 |
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Total posts in this thread: 3 |
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diconoclastx
Advanced Member
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both of my small cap and large cap filters (90 stocks total) got hit for about 1.5-3% each on avg... unusual on up day. some small caps: hrbn drys watg aldn some large caps: sigm jec wfr pcp |
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olikea
Advanced Member
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Could be a hedge fund in trouble liquidating - notice how some of the large drops occured at about the same time - around 10:30... Unfortunately we are in the same space as hedge funds, if they run into trouble because they are over levered and need to make some liquidiations, everyone gets hit. |
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probtrader
Advanced Member ITALY Joined: Oct 11, 2004 Posts: 109 Status: Offline |
If you look at the correlation between USD/JPY and SPX over the last year you will find amazingly high values. A good part of the market rally was financed by the carry trade (short JPY, long USD stocks). As the sub-prime credit crisis unwinds and the JPY gains ground versus the buck, many hedge funds are forced to liquidate their positions regardless of stocks valuations. http://traderfeed.blogspot.com/2007/02/is-carry-trade-carrying-stock-market.html When this will stop? It depends how bad the liquidity crunch is. If you believe the worse hasn't happened yet, then expect P123 models to perform poorly going forward as more leveraged funds go bankrupt. My take looking at some liquidity indicators is that the situation is not that bad. The Fed is in rate-cuts mode but it will take time (months) before the liquidity turmoils will settle down. Right now the market is still shrugging off a lot of over-leveraged positions. |
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