Market Neutral Quant Deleveraging Comes Full Circle

The HFR Market Neutral index is back down to when we first discussed it. In the meantime, market neutrals have repeatedly tried to leverage up on numerous occasions and failed every single time. With YTD performance of -3.88%, it will likely only get worse from here. And while liquidity has essentially evaporated in line with Zero Hedge's April expectations, the market is still around, propped up by various artificial liquidity constructs such as the SLP and other governmental constructs. If, and when, those crutches are also removed, then the bid/offer on the SPY will be a cool half dollar, and all cash traders (and SPARC stations) will take a permanent vacation.