In a historically bad year for hedge funds, one of their close relatives is thriving.
Bloomberg News reports that computer-driven quants, which pick shares based on factors like momentum and size, have been the only hedge fund category to increase stock holdings in 2016, data from Credit Suisse show. The move paid off as the S&P 500 Index crept within striking distance of all-time highs, while hedge fund managers were busy unloading shares.
It’s redemption of sorts for the quant momentum strategy which seized up in the first quarter. Up from the February lows, the tactics helped quants take advantage of an energy rally that fundamental managers missed, according to Mark Connors, Credit Suisse’s global head of risk advisory. As a result, computer-driven investors have been one of the few beneficiaries of a rally that has added more than $250bn to energy stocks.
One element of quantitative analysis focuses on the speed at which prices are moving, a quantity expressed as the rate of change.
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