As model-driven funds melt down and investors flee, portfolio managers struggle to respond
By Julie Dalla-Costa
Like 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