Puzzling the quants

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Stock market rally proves treacherous for some quantitative funds.

Stock market rally proves treacherous for some quantitative funds

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