Quants Are Headed for Best Year in Decades as Fed Stokes Volatility

The Wall Street Journal2022-12-14

A cadre of quant investment strategies that benefit during times of tumult are on pace for their best year since at least 2000—and those funds are counting on markets remaining volatile to extend ...

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Comments

Joyus
2022-12-14
Joyus
👍
- missychatty:
  Ok
JT_TJ86
2022-12-14
JT_TJ86
Lol
Prosperity88
2022-12-14
Prosperity88
Yes
- Vincentan59:
  [Facepalm][Facepalm][Facepalm]

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}\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; margin: 0;line-height: 11px;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nQuants Are Headed for Best Year in Decades as Fed Stokes Volatility\n</h2>\n\n<h4 class=\"meta\">\n\n\n2022-12-14 19:35 GMT+8&nbsp;&nbsp;&nbsp;<a href=https://www.wsj.com/articles/quants-are-headed-for-best-year-in-decades-as-fed-stokes-volatility-11670995957?mod=rss_markets_main><strong>The Wall Street Journal</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>A cadre of quant investment strategies that benefit during times of tumult are on pace for their best year since at least 2000—and those funds are counting on markets remaining volatile to extend ...</p>\n\n<a href=\"https://www.wsj.com/articles/quants-are-headed-for-best-year-in-decades-as-fed-stokes-volatility-11670995957?mod=rss_markets_main\">Source Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":".DJI","symbol_name":"道琼斯","start_time":0,"source_url":"https://www.wsj.com/articles/quants-are-headed-for-best-year-in-decades-as-fed-stokes-volatility-11670995957?mod=rss_markets_main","article_id":"1161592785","we_media_id":null,"thumbnails":[],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=1161592785","pubTimestamp":1671017717,"sourceInfo":{"source_id":"wsj_highlight","name":"The Wall Street Journal"},"weMediaInfo":null,"summary":"A cadre of quant investment strategies that benefit during times of tumult are on pace for their bes","collect":0,"end_time":0,"defaultTopTitle":"wsj.com","property":[],"viewcount":null,"language":"en","relate_stocks":{".DJI":"道琼斯",".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index"},"translate_title":"随着美联储刺激波动，量化分析师将迎来几十年来最好的一年","themeId":"","isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{".DJI":0.9,".IXIC":0.9,".SPX":0.9},"content_text":"A cadre of quant investment strategies that benefit during times of tumult are on pace for their best year since at least 2000—and those funds are counting on markets remaining volatile to extend their banner run.The funds wager on various assets as they rise or fall, building their bets as a trend strengthens. When algorithmic warning signs flash, they pivot into fresh positions. Those strategies have been a rare haven for much of the year as the Federal Reserve’sinterest-rate increaseshave pummeled stocks and bonds. The SG CTA Index, run by Société Générale and BarclayHedge to track the 20 largest such strategies, is up 19% in 2022, on pace for its best year since launching in 2000.Such funds tend to rise during periods of volatility and uncertainty in markets, earning them the nickname “crisis alpha.” Under the hood of the funds, managers use a variety of levers to try to gain an edge: tracking market signals of varying lengths, playing diverse futures markets, or employing differing volatility constraints.Their algorithms are opaque, as is their positioning at any given time. The nomenclature for the funds can vary—they are sometimes referred to as commodity trading advisers, known as CTAs, or managed futures. Most investors look to them as a hedge during bear markets that can still generate gains in years when stocks do well.“Managed futures do really, really well in a regime shift,” said Andrew Beer, managing member of Dynamic Beta Investments and co-portfolio manager of the iMGP DBi Managed Futures Strategy ETF. “Regime shifts seem obvious in hindsight, but they’re very hard to manage.”The funds benefited from several trades that flourished this year, among them a strong dollar, surging commodities and falling global stock and bond prices. They began to lose momentum in November once markets started to stabilize, with investors betting that inflation was waning and the Fed could slow the pace of its interest-rate increases.The SG CTA Index has fallen 6.2% since the end of October.Some of 2022’s most popular trades have faltered as well. The WSJ Dollar Index has dropped 6.5% over the same period. The S&P 500 has gained 3.8%. And the yield on the10-year Treasury notehas decreased roughly 0.57 percentage point, halting this year’s sharp advance. Yields and prices move inversely.Tuesday’s cooler-than-expected inflation data buoyed hopes that a Fed pivot is on the horizon. The central bank is widely expectedto raise interest ratesby 0.5 percentage point at the conclusion of Wednesday’s meeting, which would mark the smallest increase since May.Individual investors have warmed up to trend-following during the market tumult. Mr. Beer’s iMGP DBi Managed Futures Strategy ETF, which seeks to mirror the performance of the largest trend-following funds, is a prime example. The fund managed less than $80 million in January, according to Morningstar Direct. By October, more than $1 billion sat in the fund.Although managed futures typically do best during stock-market downturns, proponents aren’t concerned about their outlook. Withworries of a recessiongrowing and the Fed expected to continue raising rates through the middle of next year, many are convinced that managed futures can continue to buoy investors’ portfolios.When trends reverse, managed futures shift their positioning accordingly. In recent weeks, the average CTA flipped to bet on advances in large- and small-cap stock futures after wagering on declines for much of the year, estimated by a trend indicator built by Société Générale. The funds also reversed previous wagers on declines in the euro, British pound and Swiss franc against the dollar.Frequent positioning shifts can be dangerous as seen during the decade after the 2008-09 financial crisis. Yung-Shin Kung, head and chief investment officer of Credit Suisse Asset Management’s Quantitative Investment Strategies, blames highly accommodative Fed policy for crushing volatility across markets during that period. That, in turn, crimped trends and led to fleeting market moves, while also minimizing the income opportunity from leftover cash.“It was very much the [Fed’s] intention to reduce the amount of volatility in markets—not just via very low interest rates, but also highly unconventional monetary policy,” said Mr. Kung.The SG CTA Index gained 18% from 2010 through 2019, while the S&P 500 more than tripled on a total-return basis that includes dividends and fees. Frustrated investors yanked cash from the strategies.“Investors like to think they’re long term, but they get fed up with anemic performance after a while,” said Russell Korgaonkar, chief investment officer of Man AHL, one of the largest systematic investors, with roughly $60 billion sitting in such strategies.Universa Investments—a hedge fund using “tail-risk hedging” strategies that employ options as protection from potential asset crashes—has long criticized the effectiveness of trend followers as a portfolio hedge.Recent research from Ronald Lagnado, Universa’s director of research, showed that despite the strength of CTAs duringslow-grinding bear markets, their profits haven’t been enough to offset their drag on portfolios’ performance in other environments. Dr. Lagnado said investors are still “rolling the dice” when investing in them based on historical performance.","kind":null,"is_publish_news":true,"is_publish_highlight":true,"is_publish_live":null,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":9921883893,"gmtCreate":1671025641712,"gmtModify":1676538477528,"author":{"id":"3574397806525082","authorId":"3574397806525082","name":"Joyus","avatar":"https://static.tigerbbs.com/be788755f764f5e5e5cb1d49eec190f0","vip":1,"crmLevel":7,"crmLevelSwitch":1},"htmlText":"👍","listText":"👍","text":"👍","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/9921883893","repostId":1161592785,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":105207429,"gmtCreate":1671062064350,"gmtModify":1671062077542,"authorId":3560333139103013,"author":{"id":3560333139103013,"authorId":3560333139103013,"name":"missychatty","avatar":"https://static.tigerbbs.com/d75cdb42cbca99e3666b7b1796540245","vip":1,"crmLevel":5,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":9921883893,"type":1,"supId":0,"prevId":0,"content":"<span class=\"s1\">Ok</span>","text":"<span class=\"s1\">Ok</span>","html":"<span class=\"s1\">Ok</span>"}],"langContent":"EN"},{"id":9921838746,"gmtCreate":1671022791885,"gmtModify":1676538476862,"author":{"id":"4110882694760402","authorId":"4110882694760402","name":"JT_TJ86","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":1,"crmLevelSwitch":0},"htmlText":"Lol","listText":"Lol","text":"Lol","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9921838746","repostId":1161592785,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":9921894118,"gmtCreate":1671021155734,"gmtModify":1676538476630,"author":{"id":"3569644599778803","authorId":"3569644599778803","name":"Prosperity88","avatar":"https://static.tigerbbs.com/673e75041219828ee5fce0d5b00ebbfe","vip":1,"crmLevel":6,"crmLevelSwitch":1},"htmlText":"Yes","listText":"Yes","text":"Yes","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/9921894118","repostId":1161592785,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":105202401,"gmtCreate":1671021178814,"gmtModify":1671021191987,"authorId":4098866635611070,"author":{"id":4098866635611070,"authorId":4098866635611070,"name":"Vincentan59","avatar":"https://community-static.tradeup.com/news/a5c91735e742c607283b7643b505c8e4","vip":1,"currentWearingBadge":{"badgeId":"44212b71d0be4ec88898348dbe882e03-3","templateUuid":"44212b71d0be4ec88898348dbe882e03","name":"President Tiger","description":"The transaction amount of the securities account reaches $1,000,000","bigImgUrl":"https://static.tigerbbs.com/fbeac6bb240db7da8b972e5183d050ba","smallImgUrl":"https://static.tigerbbs.com/436cdf80292b99f0a992e78750ac4e3a","grayImgUrl":"https://static.tigerbbs.com/506a259a7b456f037592c3b23c779599","redirectLinkEnabled":0,"hasAllocated":1,"isWearing":1,"stampPosition":0,"hasStamp":0,"allocationCount":1,"allocatedDate":"2022.03.09","exceedPercentage":"93.55%","individualDisplayEnabled":0,"individualDisplaySort":0,"categoryType":1101},"crmLevel":3,"crmLevelSwitch":1,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":9921894118,"type":1,"supId":0,"prevId":0,"content":"<span class=\"s1\">[Facepalm][Facepalm][Facepalm]</span>","text":"<span class=\"s1\">[Facepalm][Facepalm][Facepalm]</span>","html":"<span class=\"s1\">[Facepalm][Facepalm][Facepalm]</span>"}],"langContent":"EN"}],"isCommentEnd":false,"newsSizeData":{"likeSize":78,"commentSize":3,"repostSize":0,"favoriteSize":3,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":true,"deviceId":"web-server-community-laohu8-v3","version":"4.24.2","shortVersion":"4.24.2","platform":"web","vendor":"web","appName":"ttm","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/1161592785"}