We've noted more than once around here that November's market volatility was likely to have hit quant funds particularly hard, although there's no evidence that it caused the kind of cascading losses and sell-offs we saw this summer.
More evidence for this call comes this morning from the New York Post's Roddy Boyd, who reports that AQR Capital Management's$4 billion AQR Absolute Return fund dropped an additional 5.8 percent in November after a 3.17 percent loss in October.
November was a rough month for most fund strategies, although several are said to have recovered from steep losses early in the month thanks to the post-Thanksgiving market rally.
AQR's Quant Loses Muster [New York Post]
Posted by The Rememberer , Dec 06, 2007 10:08AM
Remember: Traders don't lose money. "Models" lose money.
Posted by AJ , Dec 06, 2007 10:15AM
Check out the piece in the Journal on Ellington and Mike "Captain Iron" Vranos. More hedgies losing money.
Posted by Bernard Guerrero , Dec 06, 2007 10:27AM
What about models working _as_ traders?
Posted by Quantster , Dec 06, 2007 10:30AM
Our Quant model are doing fine. But, I'm glad AQR is doing bad as most of them come across as arrogant (more arrogant than global alpha folks) and Clifford Ass thinks he is the smartest guy in the wold.
Posted by nm , Dec 06, 2007 10:40AM
could you people here at DB please stop calling "losses" "volatility". it is really annoying. thank you.
Posted by WallStYouth , Dec 06, 2007 12:54PM
FYI
Clifford Ass is an ex global alpha MD