Quantitative Trading

There were reports that quant strategies have been suffering again in January, given the market turmoil generated partly by the Societe Gene...

This Economist Magazine article confirms my personal experience that value investing is in a sea of pain at the moment. The reasons are qui...

Readers of this blog have seen my discussions of various seasonal trades in commodities futures (e.g. see this article ). Recently, Mark Hul...

The media seems to have an endless fascination with quant funds. Here is the latest article from the Economist magazine, summarizing the po...

Emerging market stocks have been reaching new highs almost everyday (see this article in the Economist magazine), and the natural resource ...

Prof. Andrew Lo and Mr. Amir Khandani at MIT recently wrote a paper on "What Happened To The Quants In August 2007?" (Hat tip to ...

The numbers have started to come in: Morgan Stanley lost $480MM last quarter due to quantitative trading -- about 10% of operating profits.

I wrote about how hedge fund returns can be replicated with simple factor models. I just learn that IndexIQ, a company in Rye Brook, NY, ...

Previously I discussed an important debate on whether it is better to increase a portfolio's return by taking on more risks (e.g. holdi...

Recently Mr. Teetor, a subscriber of mine, has posted an enthusiastic comment on trading the XLE-USO spread that I suggested. While Mr. Tee...

Ms. Elana Varon who writes the CIO Magazine's Innovation and IT Strategy blog quoted me today in saying that some quantitative investme...

Not so long ago I was an agnostic with respect to choosing between mean-reverting and momentum models: I felt that depending on the particul...

A reader from a hedge fund (who wishes to remain anonymous) sends me some thoughtful comments about factor models. He has graciously allowed...

As I said in my CNBC interview , investors just got to be patient with the factor models. Sure enough, we are seeing reports that the large...

It has become apparent to me in the last month that there has been a massive transfer of wealth from the gigantic hedge funds running factor...

Here is the link to my interview on why quantitative models are losing money of late:

Folks, I will be appearing on CNBC tomorrow (Tue, August 14) for a live interview about quantitative trading with Maria Bartiromo. The segme...

A reader of mine (who wish to remain anonymous) pointed out that most of the losses seem to come from low-frequency trading models, while h...

A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recen...

The New York Times today has an article about several well-known quantitative hedge funds incurring significant losses in recent months. I ...