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The Almighty Buck

+ - Wallstreet Quant Funds Fail->

Submitted by
eldavojohn
eldavojohn writes "You may remember the article covering AI on Wallstreet but there's an interesting problem that came with the recent 387 point drop in the Dow Jones — too many quant funds were trying to take the same exit door at the wrong time. From the article, "Last week, Goldman Sachs said its Global Alpha quant fund had lost 27 percent of its value this year because its computers failed to anticipate what the firm called '25 percent standard deviation moves' or events so rare Goldman had seen them only twice before in the firm's history." Quant funds normally thrive on tiny deviations in the market for short term trades but evidently this past deviation was not only too much but unforeseen. Is this a case of something that's too good to be true (30% return) becoming so big that everyone's doing it and it is too good to be true?"
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Wallstreet Quant Funds Fail

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