• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Quant Funds Find Exiting Costly

Joined
5/17/06
Messages
133
Points
28
WSJ 8/11
With Many Holding Same Hands,Quant Funds Find Exiting Costly
Investors in quant funds are used to occasional bouts of poor performance. The quantitative-trading systems almost inevitably get caught out when market fashions change. But the scale of recent losses -- Goldman Sachs Group's Global Alpha fund is reported down 16% this year, Renaissance Equity Investment Fund is believed to be down 9% in August and Man Group's AHL is down 7% in two weeks -- confirms this is no ordinary drawdown.
The funds have been hit by a perfect storm. A combination of margin calls, higher financing costs and voluntary reductions in leverage have brought asset sales. But as they rush for the exits, many funds have discovered they have been holding similar positions. It seems their models all had been telling them to do the same things: typically, to buy U.S. midcap growth stocks.
(for more, see the PDF file)

Behind the Stock Market's ZigzagStressed 'Quant' Funds Buy Shorted Stocks And Sell Their Winners




One 'Quant' Sees Shakeout For the Ages -- '10,000 Years'
 

Attachments

  • One_quant081107.pdf
    57.7 KB · Views: 15
  • Quant_Fund081107.pdf
    39 KB · Views: 11
  • stressed QuantFund081107.pdf
    39.7 KB · Views: 15
Why exit when you can through good money at bad money look at Goldman Sach's there pumping in 3Billion into their equity funds.
 
The reason they pump money into the troubled market is to provide liquidity to the market. They try to tell ppl that there are still a lot of BIG GUYS are willing to put money into those markets so don't panic. To me, it is like "saving private ryan", they are already tripped there. They hope to increase liquidity so eventually, they can pull out.
Will that work? I don't know.
 
Back
Top