Quant Funds Find Exiting Costly

[luso]

WSJ 8/11

With Many Holding Same Hands,Quant Funds Find Exiting Costly
Investors in quant funds are used to occasional bouts of poor performance. The quantitative-trading systems almost inevitably get caught out when market fashions change. But the scale of recent losses -- Goldman Sachs Group's Global Alpha fund is reported down 16% this year, Renaissance Equity Investment Fund is believed to be down 9% in August and Man Group's AHL is down 7% in two weeks -- confirms this is no ordinary drawdown.
The funds have been hit by a perfect storm. A combination of margin calls, higher financing costs and voluntary reductions in leverage have brought asset sales. But as they rush for the exits, many funds have discovered they have been holding similar positions. It seems their models all had been telling them to do the same things: typically, to buy U.S. midcap growth stocks.
(for more, see the PDF file)

Behind the Stock Market's ZigzagStressed 'Quant' Funds Buy Shorted Stocks And Sell Their Winners

One 'Quant' Sees Shakeout For the Ages -- '10,000 Years'

 

[Wallstyouth]

Why exit when you can through good money at bad money look at Goldman Sach's there pumping in 3Billion into their equity funds.

 

[luso]

The reason they pump money into the troubled market is to provide liquidity to the market. They try to tell ppl that there are still a lot of BIG GUYS are willing to put money into those markets so don't panic. To me, it is like "saving private ryan", they are already tripped there. They hope to increase liquidity so eventually, they can pull out.
Will that work? I don't know.