Recently, we shared research on quant performance withBloomberg, to help better understand how these funds have fared in the face of the COVID-19 pandemic – something that computer models were largely unprepared for. Through the end of November, hedge funds overall are up over 6% according to PivotalPath’s Composite Index (Bloomberg: P2HFCI). While quant funds, as measured by the PivotalPath Quant Equity Index (Bloomberg: P2QNTI), are down over 6%.
Additionally, as our CEO Jon Caplis noted in his conversation withBloomberg’sHema Parmar, “what’s gone under the radar is that most quant strategies haven’t made much money in several years. They make up 55% of funds that have posted losses since 2016; these strategies were supposed to revolutionize trading but they didn’t do that.”