As model-driven funds melt down and investors flee,
portfolio managers struggle to respond
By Julie Dalla-Costa
many quantitative funds, Black Mesa Capital sustained a big
loss last August, ending the month down 10.7%. A careful
recalibration of its model enabled the Santa Fe, N.M., firm to
stage an impressive recovery, ending the year up 12.6%. But
Black Mesa is proving to be an anomaly among peers.
By December 31, many marquee quant names found themselves
facing double-digit losses, including Goldman Sachs Asset
Management's Global Alpha (-38%) and Global Equity
Opportunities (-30% through November 30), AQR Capital
Management's Absolute Return Fund (-11.1%) and Highbridge
Capital Management's Statistical Opportunities Fund (-14%).
Even the highly revered Renaissance Technologies flopped, at
least with its Renaissance Institutional Equities Fund, whose
Series A shares were off 1.7%.
Since August, jittery investors have pulled billions of
dollars from quant funds, notably...