Wall Street Mayhem Making Money for the Fastest Quants

Wall Street Mayhem Making Money for the Fastest Quants

A recent article in Bloomberg reports that quantitative trading firms able to rapidly build models based on short-term market trends are benefiting from the current upheaval.

After years of underperforming quants that follow long-term market trends, the article notes that “short-term trend followers are poised for their best quarter since 2016, riding wild swings across equities, bonds and commodities as volatility notches records and liquidity collapses.”

The article gives the example of portfolio manager Grant Jaffarian and his Advanced Trend fund, which is up 18% this year and “built for times like these. By switching between a variety of different historical periods—known as lookback periods—to mine trading signals, it turned bearish faster than CTA peers with a medium-term view.”

This ability to speedily “pounce on pronounced volatility and macroeconomic uncertainty” has paid off for short-term-trend-focused quants, the article said, citing data from Deutsche Bank showing strategies that track intraday momentum in S&P 500 futures, for example, hit an all-time high in mid-March.

“In need-for-speed markets lashed by the spreading coronavirus, this breed of rules-based trading is paying off,” the article reports.