I obviously don't want to generalise here, but my initial impression of stat arb and relative value arb is that these strategies earn stable pennies during bull markets when volatility is depressed but perform very poorly when vol spikes (e.g. in down markets). This impression stems from the LTCM blow up, the quant quake in '07, and volmaggedon in 2018 (?).
Is this view generally correct or completely wrong? And are there people who have done research into this?
Interested to see what people's thoughts on this are.