"Cracks Appearing": Another Catastrophic Day For Multi-Strats Means Basis Trade Suddenly In Jeopardy

Earlier today, we reported (see below) that heading into today, every major institutional investor type - from systematics, to L/S hedge funds, to multi-strat pods - had suffered immensely, with Goldman's Prime desk writing that more than two thirds of funds in each index were down, and that the last time all three strategies were down more than 75 bps in a single day happened during COVID sell-off, back in 2020.