Bloomberg.com reports that analysts at Birinyi Associates think the late-day sell-offs in the U.S. stock mkt this month may have been triggered by so-called quantitative funds dumping their holdings. The last 30 minutes of trading accounted for 80% of the losses in the Dow Jones Industrial Average between Nov 7 and Nov 15, data compiled by Birinyi show. When global equity markets tumbled in Aug, 65% of the declines were in the final half hour of trading. "We wonder if there are not again some quant funds experiencing deja vu," Jeffrey Rubin, director of research at Birinyi, said in an interview. "There are some similarities now with the July-August period that I don't think should be ignored.'' Quantitative managers were blamed by some investors for a sell-off that wiped out almost $400 bln in value from the Dow average from July 19 through Aug. 16. Funds were forced to sell because many owned the same holdings and ran similar computer models that were equally jarred by widening credit spreads and increasing stock-price volatility. Goldman Sachs' Global Alpha hedge fund fell 22.5% in Aug on losses from stock and currency trades. Goldman blamed the decline on too many quantitative funds making the same trades.
"Talk is Cheap, it takes money to buy your freedom and the taxman is knocking on the door." from Carnival World by Jimmy Buffett.
