What some have called the “perfect storm” that has hit the performance of StatArb quant funds in the past two weeks may be coming to an end. StatArb funds have seen a big rebound in their portfolios today, according to sources familiar with the situation. Since many quant funds follow similar strategies based on computer models, better performance in some funds may indicate a widespread recovery.
A turnaround for the quant funds would not be entirely unexpected. Some analysts have been urging caution about panicking over recent results.
“We searched through history trying to find events when factor correlations were increasing and when the 5-day rolling returns for all four factors (value, quality, momentum and revisions) were negative. We found that all four factors tend to recover in the next 20 days and correlations revert back to more normal levels,” a report issued by Citigroup yesterday said.
Others are warning that too strong and too sudden of a recovery may indicate that the markets have not yet reverted to “normal levels” predicted by the optimists.
“It’s still not in the models. This is still abnormal performance. One day’s outperformance doesn’t mean things are fixed,” a hedge fund manager told us. (A word of caution: his fund is not a quant fund and we suspect he’s enjoying the destruction of his robotic peers.)
-
Posted in:
Hedge Funds
The End Of The Quant Bloodbath?
Despite Turbulent Market, The Quants May Be Making A Comeback
By John Carney
Comments (19)
Leave a comment
You can log in with your account or comment as a guest below.
The non-quant is right. Still, I’m enjoying bathing in the blood of other quants right now and picking up like 20 short squeezes today for free money.
my quant strategy has recovered 3% so far, but still -3.5% for the month. And still above 1% over SPX Ytd.
I got out my tools and switched some wires around on the black box, then I hooked up my Ipod to it and hit the “shuffle” option. My system is trading completely at random and it looks as if I should be up 4% before I get my liquidation notices next week. Technology Rocks!!!!!
SPX up 1.7% for the week (Friday to Friday)
The point is, ladies and gentlemen, that: Greed, for lack of a better word, is good. Greed is right; greed works. Greed clarifies, cuts through, and captures the essence of the evolutionary spirit. Greed, in all of its forms, greed for life, for money, for love, knowledge — has marked the upward surge of mankind and greed, you mark my words — will not only save Teldar Paper but that other malfunctioning corporation called the USA.
“I got out my tools and switched some wires around on the black box”.
Thats what she said
It is all about the money kid, the rest is conversation.
Because it’s WRECKABLE!
Thanks for the “greed is good” pep talk, anonymous douchebag. Very insightful.
“Payback time Sport. See that building?, I bought that building ten years ago…..my first real estate deal…sold it two years later, made an $800K profit. It was better than sex. At that time I thought that was all the money in the world… now it’s a days pay.”
This is all an aberration. Fear not, my little quant disciples: volatility will soon return to predictable levels. Markets are always efficient. QUANTS RULE!
@JD
WallStreet Quotes?
loeb you are SO testy!
i’d like to think that the real dan loeb might actually come on this website and post that exact comment.
making a comeback?To qoute from Keith Campbell(founder of Campbell &CO) whoever they are. “Our risk models failed to pick up the fact that we were due for a correction” WHAT THE F….K What the hell good are the quants..I couldnt make this up..perhaps Larry David is writing his scripts
If you need to understand what the heck is transpiring go no further than Mr. Taleb
making a comeback?To qoute from Keith Campbell(founder of Campbell &CO) whoever they are. “Our risk models failed to pick up the fact that we were due for a correction” WHAT THE F….K What the hell good are the quants..I couldnt make this up..perhaps Larry David is writing his scripts
If you need to understand what the heck is transpiring go no further than Mr. Taleb
Campbell has been successfully trading for 30 years as a CTA while hundreds of competitors have come and gone. They have $11 bio under management. In the futures business, they are as good as it gets.
RIEF was up 3-4% on Friday.
Taleb is a broken clock.
Taleb is an arrogant prick, but he does make some good points.
He may be righterer than you think.
Also heard RIEF was up 3-4% Friday