{"id":2600,"date":"2020-11-03T22:35:48","date_gmt":"2020-11-04T03:35:48","guid":{"rendered":"https:\/\/navesinkinternational.com\/?p=2600"},"modified":"2023-12-20T02:53:24","modified_gmt":"2023-12-20T07:53:24","slug":"a-terrible-horrible-no-good-year-for-quants","status":"publish","type":"post","link":"https:\/\/navesinkinternational.com\/2020\/11\/03\/a-terrible-horrible-no-good-year-for-quants\/","title":{"rendered":"A terrible, horrible, no-good year for quants"},"content":{"rendered":"<p><img fetchpriority=\"high\" decoding=\"async\" class=\"alignright wp-image-2606 size-medium\" src=\"https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-300x195.jpg\" alt=\"Two Dollars\" width=\"300\" height=\"195\" srcset=\"https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-300x195.jpg 300w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-1024x666.jpg 1024w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-768x499.jpg 768w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-1536x998.jpg 1536w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-1080x702.jpg 1080w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-1280x832.jpg 1280w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-980x637.jpg 980w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson-480x312.jpg 480w, https:\/\/navesinkinternational.com\/wp-content\/uploads\/2020\/12\/Thomas-Jefferson.jpg 1540w\" sizes=\"(max-width: 300px) 100vw, 300px\" \/><\/p>\n<p>Quant hedge funds have had a bad year. One of their core factor, value, a staple of investment for many years, has strongly underperformed.<\/p>\n<p>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&#8217;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).<\/p>\n<p>It&#8217;s probably way too early to call for the demise of quant investing, but COVID surely brings a regime shift.<\/p>\n<p>Credits to\u00a0<a href=\"https:\/\/www.linkedin.com\/in\/ACoAAAShISUBd2tZUTMC6K9zSfN6-EnIyv7CHV4\" data-attribute-index=\"3\" data-entity-hovercard-id=\"urn:li:fs_miniProfile:ACoAAAShISUBd2tZUTMC6K9zSfN6-EnIyv7CHV4\" data-entity-type=\"MINI_PROFILE\" target=\"_blank\" rel=\"noopener\">Robin Wigglesworth<\/a>at\u00a0<a href=\"https:\/\/www.linkedin.com\/company\/financial-times\/\" data-attribute-index=\"5\" data-entity-hovercard-id=\"urn:li:fs_miniCompany:4697\" data-entity-type=\"MINI_COMPANY\" target=\"_blank\" rel=\"noopener\">Financial Times<\/a><\/p>\n<p><iframe style=\"background: white;\" src=\"https:\/\/www.ft.com\/content\/d59ffc34-5a34-4cdd-bbbf-5a0e82859f1c\" width=\"100%\" height=\"650\"><\/iframe><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Quant hedge funds have had a bad year. One of their core factor, value, a staple of investment for many years, has strongly underperformed.<\/p>\n<p>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&#8217;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).<\/p>\n<p>It&#8217;s probably way too early to call for the demise of quant investing, but COVID surely brings a regime shift.<\/p>\n","protected":false},"author":1,"featured_media":4987,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[12,11],"tags":[25,35,17,147,48,18],"acf":[],"_links":{"self":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/2600"}],"collection":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/comments?post=2600"}],"version-history":[{"count":1,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/2600\/revisions"}],"predecessor-version":[{"id":13096,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/2600\/revisions\/13096"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/media\/4987"}],"wp:attachment":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/media?parent=2600"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/categories?post=2600"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/tags?post=2600"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}