• Goldman Sachs, Hedge Funds, Quantocide

    Goldman Sachs Will Indeed Lose Billions Of Dollars (Just Not Its Own Billions Of Dollars)

    It allegedly won’t be announcing any multi-billion writedowns this quarter but Goldman Sachs’s Global Alpha is probably going to lose about $6 billion in assets this year and that’s got to count for something. The 60 percent decline (from an ’07 start of $10 billion) is the result of a confluence of factors including some […]

    / Nov 19, 2007 at 12:27 PM
  • Quantocide

    The Revenge of Quantocide?

    Last week unusual movements in the stock markets—with some widely shorted stocks rising even as the broader markets plummeted—had many wondering if we were witnessing a repeat of the events of late July. This afternoon, Dane Hamilton of Reuters hands in his contribution to the rumor mill. “In addition, some traders say they have recently […]

    / Nov 12, 2007 at 3:53 PM
  • Quantocide

    Quants on Fire: The Anatomy of Bloodbath

    We’re not going to say that we totally let our subscription to MIT Technology Review lapse. But if we had, we’d totally be signing up to renew it now. The latest issue carries a story that gives one of the most “my grandmother would understand this” friendly accounts of the August quant bloodbath. The basic […]

    / Oct 19, 2007 at 12:00 PM
  • Morgan Stanley, Quantocide, Quants

    Don’t Ever Sneak Up On Morgan Stanley Like That Again

    Morgan Stanley’s quantitative strategies group, which lost $480 million during the quarter ended August 31, disclosed in a regulatory filing today that out of its 14 losing days, on its best one, $390 million was misplaced. The securities firm said that it was “caught off guard” by “widespread” investor selling, which their models had not […]

    / Oct 10, 2007 at 3:52 PM
  • Hedge Funds, Quantocide, Quants

    Simulating The Quant Bloodbath

    A pair of academics at MIT have published a paper that seems to confirm the Rothman Theory of this summer’s Quant Bloodbath. The Rothman Theory—named for Lehman Brothers analyst Matthew Rothman who laid it out in a note published in the midst of the blood bath—held that the initial quant fund losses were triggered a […]

    / Sep 24, 2007 at 4:45 PM
  • Quantocide

    D.E. Shaw’s Losses No Longer On The D.L.

    Amidst the quantocide on the Street, some well-respected news outlets were reporting that D.E. Shaw was reaping losses of up to 20% on some of its funds. The real losses, according to one D.E. Shaw investor: DE Shaw composite down 7% DE Shaw occulus down 3% Notable, but hardly terminal.

    / Aug 13, 2007 at 9:44 AM

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