Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Intraday trend was a top performer among quant strategies in the market turbulence of the early pandemic. Just as it was winning new fans, though, the strategy began a performance slide that has continued ever since.
Quants blame several things. The complex gamma hedging behaviour from dealers that often drives intraday trends has turned on its head. Spells of market stress, which ordinarily bring paydays for the strategy, have been notably absent. And an influx of new investors arguably has
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