Stock market rally proves treacherous for some quantitative
By Irwin Speizer
The mathematical models used by quantitative
funds are supposed to take the guesswork out of selecting
securities, at least for the fund manager sophisticated enough
to write the complex programs. Investors, however, have
recently learned that unexpected events can trip up quant fund
managers just as much as they can the fundamental players.
Take the powerful rally that began on March 9 and lifted the
broad stock market 27% by mid-April. The buzz among quant
investors and analysts has been that the big upward move caught
quant models by surprise - at least those playing the U.S.
equity market. According to Barclays Capital analyst Matthew
Rothman, a clear majority of roughly 80 quant managers
responding to a recent survey have lost money since the rally
began or have been stopped out of their positions. The managers