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.