Quantitative hedge funds are facing a run on the bank. Tens
of billions of dollars in these black box-driven strategies are
misbehaving, and nobody seems to know exactly
A report released by Lehman Brothers yesterday attempts to
deconstruct the behavior of quantitative funds, some of the
mostly highly regarded of which Renaissance
Technologies, AQR Capital Management and Goldman Sachs
Global Alpha are said to be carrying big losses as the
equity markets slid almost 3% Thursday and opened down on
The situation developing among quantitative fund
managers has all the hallmarks of a classic run on a
bank situation, wrote Lehman analyst Matthew
Rothman. He noted that the trouble is not manager specific but
extends to the entire quantitative equity strategy.
The level of market volatility thus far in August, much
worse than Julys choppiness, has only...