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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'