WorldQuant’s New Fund Underperformed

The first quant fund established for outside investors by the Connecticut-based firm WorldQuant has lagged its benchmark from the outset, according to an article in Bloomberg.

The quant stock fund was created as a joint venture between WorldQuant (founded by Igor Tulchinsky) and Millennium Management (founded by Izzy Englander). According to the article, the fund was established to beat the MSCI World Index by 300 to 600 basis points annually but lost 9.5 percent in October compared to the index’s 7.3 percent dip. Since its inception in May, the fund has “lost 2.86 percent, exceeding the 2.2 percent loss in its benchmark index over the same time period,” according to “people who have been briefed on the returns” but wish to remain anonymous.

“Funds that use computer-driven models to follow big market trends were whiplashed as price volatility spiked,” the article says, adding that global stocks “plummeted the most in more than six years in October and tore through money pools that slice and dice assets based on factors such as momentum, value and growth.”

WorldQuant employs approximately 1,000 research consultants globally to find “signals that predict price movements,” the article says, in addition to its 493 full-time investment professionals.