Posts Tagged ‘

quant funds

’

So long, Global Alpha

Posted by Cardiff Garcia on Sep 15 22:46. Comment.

The WSJ has got hold of a letter from Goldman Sachs to its clients and reports the news that the bank plans to shutter its famed quant fund because of investor redemptions:
Goldman Sachs Group Inc. will close its Global Alpha Fund hedge fund by the end of October, More…

Quants vs decimals

Posted by Tracy Alloway on Feb 04 12:35. Comment.

In early 2009, customers of AXA Rosenberg began complaining of ‘industry overexposure’ in their portfolios, according to an SEC order published on Thursday.

Fast forward two years and AXA — which was one of the pioneers of quant models for portfolio investments — has now been fined $242m by the US securities watchdog, More…

The (Greek) tragedy of the quants

Posted by Tracy Alloway on Apr 28 08:24. Comment.

Take a good look at that chart, from BNP Paribas, for it is the stuff that quant models are made of.

The way this particular model, said by BNP to be a “main work horse” of quant traders, works is this: More…

A quant mea culpa

Posted by Paul Murphy on Apr 07 19:43. Comment.

Spare a thought for Matthew Rothman, the analyst charged with telling clients of Barclays Capital why the bank’s US equity quant model appears to be broken.

From Wednesday’s market commentary:
Summary
- Our ROQS quantitatively derived long-only enhanced index portfolio underperformed this month, More…

The quant disruption that never was

Posted by Izabella Kaminska on Nov 11 10:18. Comment.

We’re coming to this a little late, but the content of a November 3 Barclays Capital quant report is so intriguing we thought it still worth posting.

To cut to the chase, Matthew Rothman, of BarCap’s US equity quantitative strategy team, More…