Quants: We’re Being Killed

I’ve been getting more than a few notes from quant investors out there, all saying a variant of the same thing: “We’re being killed!”

People blame all sorts of things, ranging from blind selling, non-quant fast-money seeing quant blood in the water, and so on. But the real blame goes to the continuing inflexibility of many quant models. They are still very, very bad at detecting and responding to regime changes.

The preceding said, today most quants are seeing nice reversals. There is apparently a flight back to many of the same stocks that were summarily abandoned earlier in the week.

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Comments

  1. alpha24seven says:

    HUH? I say again HUH?
    Printing money over here. I’d be curious to know who is whispering in your ear and what kind of Rube Goldberg contraption type algorithms (or rocket science schemes) those guys are using.
    If these guys can’t make money with this kind of volatility a.) they should never have been managers b.) …uh don’t know what to say. Refer back to point a.
    Seriously, this is the time when the long/short guys will be vindicated.
    Life is good.

  2. a says:

    Big reversal today as you say.