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Systematic funds post worst day since 2023 on momentum-driven selloff

NEW YORK, Aug. 20. Systematic funds recorded their worst daily performance since 2023, reports showed, as a significant momentum-based market decline moved through markets. The session stands as the sharpest single-day loss for the strategy category in more than two years.

By Corinne Ashford2 min read
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Key takeaways

  • Systematic funds recorded their worst single-day performance since 2023, driven by a momentum-based market decline.
  • The session was the sharpest single-day loss for the strategy category in more than two years.
  • Systematic funds are built to track and amplify prevailing market trends, making them vulnerable to sharp reversals.
  • A momentum reversal hurt these strategies from both sides: trend-based positions lost value while the speed of the move limited time to adjust.
  • No details on the magnitude of the losses or the specific assets involved were available at the time of reporting.

NEW YORK, Aug. 20. Systematic funds recorded their worst daily performance since 2023, reports showed, as a significant momentum-based market decline moved through markets. The session stands as the sharpest single-day loss for the strategy category in more than two years.

The momentum-based character of the decline is central to the damage. Systematic funds are built to track and amplify prevailing trends. A sharp momentum reversal hits those strategies from both directions at once: positions built on the trend lose value while the speed of the move compresses the window to adjust.

No further details on the magnitude of the losses or the specific assets involved were available at the time of reporting.

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Frequently asked

Why did systematic funds have their worst day since 2023?

A significant momentum-based market decline moved through markets, and because systematic funds track and amplify prevailing trends, a sharp momentum reversal damaged their positions.

What makes momentum reversals especially damaging to systematic funds?

A sharp reversal hits from both directions at once: positions built on the trend lose value while the speed of the move compresses the window to adjust.

How significant was the loss for the strategy category?

It was the sharpest single-day loss for systematic funds in more than two years, the worst since 2023.

Are the exact losses and affected assets known?

No, no details on the magnitude of the losses or the specific assets involved were available at the time of reporting.