China’s quantitative hedge funds risk ending years of outperforming the market, after a surge in local stocks spurred by the government’s economic stimulus package last month beat their models and squeezed short positions.
Quants’ long-only strategies trailed mainland Chinese stocks’ 22% jump by 2 percentage points in September, turning their year-to-date so-called excess return into a 0.1% loss. That compared with an outperformance of at least 16 percentage points in the past three years, according to data compiled by Shenzhen PaiPaiWang Investment & Management Co.
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