"Another August 2007?": Quants Suffer Worst Drawdown In Almost 5 Years

"I’m old enough to remember the quant quake of August 2007, and how quickly that unwind unfolded."

     -- Goldman Delta-One head Rich Privorotsky

Update: following up on this morning's post (see below) discussing the sudden, sharp meltdown in systematic funds, we have an updated. According to Goldman's Mario Laicini (full note here for pro subs), today's session - which saw most stocks ramp higher once more - pushed quants lower by another 80bps (2 sigma). As a result, systematic funds are now down 3.6% MTD, down 5% from the start of June, and on track for the worst month in almost 5 years.