QVAL

You Saw It Coming: 85% of Quant Funds Underperform

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You Saw It Coming: 85% of Quant Funds Underperform  —  Financial advisors that shared the book Value Trap with your clients, if you think it makes sense, please be sure to let them know how hard you are working for them in staying up to date with new developments, especially the vast underperformance of quant mutual funds. Keep building trust.— By Brian Nelson, CFA — If I could have one wish come true, it’s for our members to know how much we put their interests first in getting them the right information with sound judgment. This sometimes takes us off in tangents, but where the individual investor and financial advisor are in need or not getting a fair shake, you’re going to find us … Read more

Economic Roundtable: Quant Quake, Quac-cidental Correlation

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Image Source: Anders Sandberg.  Last week, the markets may have revealed that internals aren’t all that healthy. Major equity markets experienced a “rotation” that reminded many investors of the “quant quake” from August 2007. As Valuentum’s Brian Nelson wrote in Value Trap, “just a few bad days in the market caused a rapid unwinding of many quant long-short strategies (back then). Goldman’s chief financial officer said at the time that the firm was witnessing ‘25-standard deviation moves, several days in a row.’” On the surface, markets last week seemed relatively calm, but as the episode in 2007 revealed the activity last week may just be the calm before the storm. Many are pointing to overcrowded trades in betting against certain … Read more