![]() ![]() stock market ended the two-week period from July 27 to August 17 almost where it began, but it experienced a number of days with considerable intra-day reversals (see top panel of the exhibit below). Looking at index-level performance on an intra-day level, the U.S. However, that performance masks the volatility that took place during individual days. ![]() equity market performance was basically flat in the early days of the crisis. However, while many fundamental long-short funds took it on the chin, broad U.S. When we look back to the August 2007 liquidity crunch, what does the real-time tick data tell us?ĭuring the summer of 2007, stock prices were whipsawed as many quant managers struggled to raise cash to meet collateral requirements in their multi-strategy funds. Real-time index levels can help them monitor fast-changing equity markets through the lens of factor returns. This need for transparency may be especially true where fund managers have exposure to factors that may experience high volatility in crisis periods. One challenge for institutional investors is to find real-time data in order to respond to market events as they unfold. As we saw in the August 2007 “quant liquidity crunch”- now about to mark its 10-year anniversary - many quantitative equity managers could have benefitted from getting market insights in real time as they found themselves in crowded trades. When markets get volatile, stock prices can move very quickly in a short period. ![]()
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