Hot take: If you take a basket of 200 "fundamental" long/short hedge funds (which are not the mo factor at pod shops), you will have the positions of a dozen big quant funds. So it is difficult to imagine quant funds are doing that well here other than via smallcap bias.
Small sample but from what I’m seeing, equity quant market neutral doing well this month even over the last couple of days BUT could definitely see a spillover from long/short into quant in next few days especially if degrossing continues.
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Long-run average correlation of quant EMN and beta-hedged equity long-short is about 40% but there seems to be less portfolio overlap than usual at the moment, which is helping quant
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Thanks. It is possible the broadness of the quant books across biases is helping here whereas a number of ELS funds with more concentrated books are getting squashed. I expect there is more factor neutrality in quant books too. But what I see today in Asia suggests more pain.
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