Quant hedge funds had their worst day in more than two years, in a session that coincided with the US Treasury’s efforts to shore up the government bond market and sharp share price moves.
Wall Street banks told clients this week that quant funds, which use computer-driven strategies to systematically trade across asset classes, were down significantly as markets remained volatile. Funds that had big exposures to the “momentum” factor, or buying stocks that are already going up and selling those that are going down, were hit particularly hard.
Goldman Sachs wrote to clients on Wednesday afternoon in New York that its “global momentum” index was well outside historical norms, with systematic long-short hedge funds down 1.4 per cent as of 1pm Eastern time, their worst day in more than two years, according to a note seen by the FT. Goldman declined to comment.