Search
Close this search box.

Home of the best experts

Investments & markets, News
By Gontran de Quillacq
On November 3, 2020

A terrible, horrible, no-good year for quants

Quant hedge funds have had a bad year. One of their core factor, value, a staple of investment for many years, has strongly underperformed.Quants rely on backtests to see what has performed / is performing well. In a changing universe, models naturally have short lifetimes as a result. In this covid world, the past really doesn't reflect the future anymore, and many models do not work at all. Some quants have self-doubt on the validity of their approach (see the previous post on Inigo Fraser Jenkins).It's probably way too early to call for the demise of quant investing, but COVID surely brings a regime shift.

Two Dollars

Quant hedge funds have had a bad year. One of their core factor, value, a staple of investment for many years, has strongly underperformed.

Quants rely on backtests to see what has performed / is performing well. In a changing universe, models naturally have short lifetimes as a result. In this covid world, the past really doesn’t reflect the future anymore, and many models do not work at all. Some quants have self-doubt on the validity of their approach (see the previous post on Inigo Fraser Jenkins).

It’s probably way too early to call for the demise of quant investing, but COVID surely brings a regime shift.

Credits to Robin Wigglesworthat Financial Times

Leave a Reply

Your email address will not be published. Required fields are marked *


News
We would like to express our heartfelt thanks to you, our clients, for your continued and growing business with us.We're also excited to share some...
Derivatives
Investments & markets
The CFTC just fined Goldman for failure to properly disclose prices fairly to clients. And it's all about a technical issue related to the timing of...
Investments & markets
News
Silicon Valley Bank (SVB) defaulted on Friday. At $212 bn of assets, it is the largest failure since 2008, and probably one of the fastest -...
News
The financial industry is a legal and compliance minefield for its million+ members. Through the Financial Professionals Coalition, Stephen Kohn, Bill Singer, and a talented group of...
Investments & markets
News
Xi Jinping's new leadership team will maintain the current direction. And China's GDP will slow; the Chinese economy is unlikely to reach that of the US...
News
Regulation, enforcement & litigation
Johnson & Johnson has spent billions on cases about one of its most popular products - talcum powder. As its executives try a brazen new legal...