What if a quant equity factor crash echoes August 2007?
A sharp momentum-to-value reversal detonating crowded stat-arb books is a mechanical unwind, not a macro event — crowded high-beta longs (SOL/Nasdaq) and credit gap as books degross into the reversal. This is explicitly the Aug 2007 quant quake replayed, which whipsawed factor portfolios over days before reverting. Contagion runs through shared leverage and overlapping signals across funds. Forward angle: such crashes mean-revert within sessions; the actionable edge is fading the factor extreme and re-adding the names degrossed under duress.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 0–6 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A sudden momentum-to-value reversal detonates crowded statistical-arbitrage books, echoing August 2007 in a single brutal session. The trigger decomposes into signed root‑shocks — Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.