Quant Funds Are Selling Stocks With Hidden Volatility Building
- Funds tracked by Credit Suisse reduce equity exposure by 10%
- Cross-sector disruptions spur swings in factor returns
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A record spike in equity volatility couldn’t get the quants to sell, but bubbling market stress below the surface has finally spurred them to offload.
Quantitative hedge funds on Credit Suisse’s prime services platform have ended their 18-month streak of relentlessly buying stocks. They’ve reduced exposures by about 10 percent over the past two months through the end of May. Over the past week or so, such funds have held broadly steady.