Ross perot hedge fund liquidating

04-Feb-2016 06:28

There’s an interesting idea going around that asset management – specifically the metastasizing quantitative strategies run via black box are where the next big scare is due to come out of.

Volatility has been so low, for so long, that winning trades have become crowded and leverage is bountiful.

From discussions with former colleagues and other equity quants at the time, the meltdown was very ugly.

Long-only quantitative accounts with relatively low turnover portfolios suddenly saw relative performance tank to -10% to -15% against their benchmarks in a matter of days, as per the above chart.

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one afternoon I will never forget a conversation I had with a leading quantitative portfolio manager.

To him the most important component to quantitative trading was not the creation of a good model.

Moreover, factors that were uncorrelated by design, e.g. growth, all suddenly saw their return correlations converge to 1.

How models blow up Dassault explained the fatal design flaw of these models in her blog.

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And the kicker – they’re all running the same playbook, loading up in the same trades.

Dassault, in referring to “ten years ago”, is referencing the subject of Scott Patterson’s excellent book, The Quants, in which a handful of genius mathematicians were blown up in a 2006 incident which presaged the global market meltdown that would begin a year later. The incident that Dassault referred to was not the crash of 2008, in which quants made erroneous assumptions about their model inputs (house prices don't fall).

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