Thursday, July 09, 2009

The Quant Weather Report

Zero Hedge features a detailed report from Matt Rothman of Barclay's on the currently prevailing conditions in the market from a quant perspective. The summary: market dispersion has been unusually low for the past several months, which means that diversification has been relatively useless. Most of the other major strategies have also had major problems on a mathematical basis; the risk management models that the big traders use are not able to cope with the conditions in which we find ourselves, but it appears that we are slowly returning to a more normal regime.

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