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From Kirsten Bischoff, Opalesque New York:
With BlackRock reporting $8bn in redemptions out of its quant funds during Q1-10, one would think that quant strategies were out of favor. However, with a spate of newly announced quant launches, and word of asset growth at many established firms it seems more likely the case that assets are shifting around within the strategy.
Since 2007 many quant managers have seen more volatility than they would like in both their asset base and their performance. While people stopped questioning “What happened to the quants in 2007?” after many managers clawed back their Q3-07 losses by year-end and then delivered strong performance in the volatile markets of 2008, those investors who joined the party late were disappointed as many quants then typically saw little in the way of gains through 2009.
But, the market environment seems to be favoring these managers again, especially those that showed strong, consistent performance throughout the past few years.
Anthony Limbrick, CIO of Pure Capital said during the recent Opalesque Roundtable - New Zealand that these managers see massive opportunity in the things they trade (kurtosis, serial correlation and volatility). “It may require moving one’s point of perception in order to see this,” he added.
And, as tight as the asset raising environment is, many investors seem to be in agreement...................... To view our full article Click here
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