Quants Learn a Tough Lesson on Their Limits From Kraft Plunge
- Dividend, low volatility and value ETFs all own the stock
- So-called smart beta strategies tend to rely on historic data
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Kraft Heinz Co.’s precipitous plunge is making quants uncomfortable.
The owner of the Oscar Mayer trademark, which fell as much as 27 percent Friday, is found in many U.S. exchange-traded funds that employ factor-based strategies focused on capturing dividends, avoiding volatility or identifying underpriced stocks. The decline highlights the pitfalls in slicing and dicing the equity market by looking at a stock’s characteristics.