  We explain in a nontechnical fashion why dollar-neutral quant trading
strategies, such as equities Statistical Arbitrage, suffered substantial losses
(drawdowns) during the COVID-19 market selloff. We discuss: (i) why these
strategies work during "normal" times; (ii) the market regimes when they work
best; and (iii) their limitations and the reasons for why they "break" during
extreme market events. An accompanying appendix (with a link to freely
accessible source code) includes backtests for various strategies, which put
flesh on and illustrate the discussion in the main text.
