Lehman deconstructs the quant fund meltdown


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 why.

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 Friday morning.

“The situation developing among quantitative fund managers has all the hallmarks of a classic ‘run