• 01 Dec 2009 at 4:15 PM

Goldman: Quant Hedge Funds Have To Do Better, Be Less Quant-y

By John Shazar

abacus.jpgQuantitative hedge funds, which really stunk up the joint two years ago, are getting some tough love from a guy who knows just how bad it can get.
Robert Litterman is head of quantitative resources at Goldman Sachs Asset Management, which in 2007 watched its Cadillac of hedge funds, Global Alpha, turn into a Yugo. And as he sees it, from his alternately lofty and lousy perch, and with his many years of experience in the field, quantitative hedge funds have to do a better job of making money for their clients. And in Litterman’s considered opinion, they need to find new ways of making money. New and non-quantitative, apparently.

We’re putting together data that’s not machine-readable.


I see. Any other pearls of wisdom?

You have to adapt your process. What we’re going to have to do to be successful is to be more dynamic and more opportunistic.

Totally worth the price of admission to the Quant Invest 2009 conference (flight to Paris not included). Thank you, Bob.
Quant hedgies must fish in fresh waters-Goldman [Reuters]

Comments (12)

  1. 1
    Posted by american bandersnatch | December 1, 2009 at 4:28 PM

    The future is merely the extrapolation of the past. Give me a sufficiently good rear view mirror and I’ll drive down the freeway safely at 150 mph without looking out the windshield.

  2. 2
    Posted by guest | December 1, 2009 at 4:37 PM

    @1
    DOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOOUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCCHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEE

  3. 3
    Posted by guest | December 1, 2009 at 4:50 PM

    @1
    …until the crash
    (and subsequent explanation of why that certain variable which [we knew about but ignored] would have prevented said crash)
    then give me another car and i will “prove” my theory

  4. 4
    Posted by guest | December 1, 2009 at 4:52 PM

    john merriweather

  5. 5
    Posted by american bandersnatch | December 1, 2009 at 4:58 PM

    @4 – crap, now I’m going to have to get a new ID.

  6. 6
    Posted by ComfortablySmug | December 1, 2009 at 5:22 PM

    Yeah, bullshit there’s data that isn’t machine readable
    Regards,
    Optimus Prime
    Autobot Capital Partners

  7. 7
    Posted by guest | December 1, 2009 at 9:40 PM

    new ways of making money: sell your ugly ass til your above the watermarks. Might take several years though; so learn to love it.

  8. 8
    Posted by GlobalBeta | December 1, 2009 at 10:32 PM

    In other words – The food in this city is great! Pity about all the Socialists, I had to check my gun at the front desk. What? You want me to tell you how our quant desk makes money. Fuck off.

  9. 9
    Posted by Compsci | December 2, 2009 at 1:56 AM

    What, are they gathering pictures? Physical goods? Spitzer’s memories? I don’t get it.

  10. 10
    Posted by guest | December 2, 2009 at 8:36 AM

    From now on all documents and notes will be written in CAPTCHA form. Excel will no longer be used.
    -GSAM MD

  11. 11
    Posted by guest | December 2, 2009 at 12:44 PM

    AQR will be just fine

  12. 12
    Posted by guest | December 2, 2009 at 1:59 PM

    Heard the same stuff that the Reuters article mentioned from many others including BGI. Newer databases, text procesing, linkages, more short-term, more event driven. Every one is exploring the same things. No wonder even these newer things are not working.

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