Forums  > General  > Are we in a quant meltdown akin to August 2007?  
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Total Posts: 368
Joined: Jan 2015
Posted: 2018-12-14 17:04

Sorry for being opaque. All I meant was that institutions seem to be deleveraging to a much greater degree than retail. So, we'd expect the latter to be the marginal buyer, and the former the marginal seller. That would entail a tendency for positions relatively favored by retail to outperform those relatively favored by institutions.

The upshot is that institutions tend to be better informed than retail. That creates a paradox where higher alpha participants are likelier to face losses than their dumb money counterparts. At least in cases where the fund flows are moving faster than the alpha realization horizon (so lower-frequency stuff).

Good questions outrank easy answers. -Paul Samuelson


Total Posts: 1119
Joined: Jun 2007
Posted: 2018-12-14 22:09

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...


Total Posts: 1261
Joined: Feb 2005
Posted: 2019-01-02 01:30
Curious what folks did in Dec... I heard deleveraging spread into macros and fixed income arb guys too towards late nov and early dec. If anybody got some updated numbers I would be interested. Thanks

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.


Total Posts: 478
Joined: Apr 2005
Posted: 2019-01-02 06:33
Credit Suisse said that, as of Christmas Day, Equity LS funds had fallen off a cliff again. The number was >5% - which is ridiculous - and also misses the bounce in markets just after.

However, effective 28th, MS was saying Equity L-S were down 3.5% - which might well be a decent data point - especially given their prime brokerage market share in that strategy.

HRFX (which I rarely trust for non-Equity data, I must say) had macro as being marginally up, and FI RV down approx 2pc (


Total Posts: 10
Joined: Jun 2018
Posted: 2019-01-10 09:19

Where exactly do they get fillings from? I am looking at

But they still don't have anything in 2019?


Total Posts: 35
Joined: Aug 2018
Posted: 2019-01-10 15:40
Only Och-Ziff Capital Management's performance is public. The rest of the numbers come from either investors or someone at the firm effectively leaking the info to the reporter. Granted a lot of the numbers aren't exactly secret, had heard Millennium/Citadel/Point72 numbers already.. and I know of other multimanager funds that very much outperformed those three, not an amazing year but still not all that bad. Although have heard some really good numbers coming from places with HFT exposure.


Total Posts: 25
Joined: May 2018
Posted: 2019-01-10 16:14
@anonq as usual I’m curious... care to name any of the other MM funds that outperformed?


Total Posts: 35
Joined: Aug 2018
Posted: 2019-01-10 16:38
heard tower did good but not a specific number, although I know of some groups at tower that absolutely printed money

the fund I work for outperformed those 3 but yeah don't wanna name that name.. granted smaller than them but I'd say same ballpark/league


Total Posts: 1551
Joined: Jun 2004
Posted: 2019-01-13 19:15
According to the recent email, past two weeks have been incredible for long/short funds to the tune of 4%+. Driven by the energy rebound, supposedly. Anyone knows how the quant world is doing?

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'


Total Posts: 454
Joined: May 2006
Posted: 2019-01-14 13:20

Hedge Fund Performance in 2018: The Good, Bad and the Ugly

I don't know any lists of quant only.

But +4% sounds too much. November was more like -1% on average.

Sorry, you said two *weeks*, I read months.

May be. But that's just beta. SPX is up 4%.

"There is a SIX am?" -- Arthur
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