• Hedge Funds, Quants

    Hedge Fund Coin Flipping

    It’s no surprise that the quants are a strange bunch. Last year, when their strategies cascaded to recorded losses, they blamed the markets for misbehavior. Now it seems a hedge fund looking for someone with quant skills has placed a particularly strange ad on Craigslist.

    / Jul 23, 2008 at 1:29 PM
  • Hedge Funds, Quants

    Hedge Fund Rumors: Liquidation From Quant Fund In Boston

    We’re hearing that a Boston based quant fund has been liquidating its positions today, perhaps concerned about margin calls from its brokers. So far, we haven’t been able to track down a name. J W Henry & Co are the only quants in Boston who come to mind but they haven’t returned our calls yet. […]

    / Jan 23, 2008 at 2:20 PM
  • AQR, Quants

    Bloody November: AQR Losses 5.8%

    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 […]

    / Dec 6, 2007 at 9:06 AM
  • FOREX, Quants

    A Quant Driven Sell-off

    Just because the markets rallied yesterday doesn’t mean we’re letting go of the sell-off of the previous week. Sure the Dow was up 319 points. But that’s still less than half of what it lost in the previous four sessions. The skeptics of our theory of a quant sell-off last week persist in the view […]

    / Nov 14, 2007 at 9:27 AM
  • Quants

    Another Quant Liquidation Under Way?

    Two days ago, we told you the there were widespread rumors that a large quant fund—possibly AQR Capital Management—might have run into some liquidity problems. Yesterday the post reported that the Greenwich-based hedge fund had scrapped its planned initial public offering after a dismal performance caused several large investors to pull their cash out of […]

    / Nov 9, 2007 at 3:22 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
  • Hedge Funds, Quants

    The Quant Quagmire
    Goldman’s Quant Memo Points To Bigger Problems For The Quants

    Can the quants fix their problems? After last week’s quant bloodbath, this is a question that hedge fund investors and the quant fund managers have been asking. But one popular solution—reducing the risks from too many quant funds following the same factors by bringing in new factors—may create even more problems for at least some […]

    / Aug 16, 2007 at 11:15 AM

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