Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Last year’s annus mirabilis for trend followers seems a long time ago. The banking crisis in March caught quant firms with a sucker punch, knocking around 8% off this year’s performance for investors that employ trend-following strategies – a monthly reversal not seen since November 2001.
Many fear that the bruising experience won’t be a one-off, either.
Deepak Gurnani, founder and managing partner of $2 billion boutique quant firm Versor Investments, predicted in May last year that in future
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