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.
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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.
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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Yep agree this will eventually spread to quant as well, especially as realized factor vol picks up which cause mechanical delevraging across quant space
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