Sorry @helpme_please, I did not intend to be a helping hand in spoiling this thread. I ended this by blocking this guy. I don't have much patience with people who talk nonsense. His last post on this topic neither made any sense.
The exchange is open for all to see. Who's the civil and uncivil one, we can make our own judgments. Thanks for your contribution.
Quant as a group underperforming is a fact. no matter how you cut up the data...more importantly, they've been underperforming relative to their expected performance (crisis alpha, negatively correlated to the market, etc.) my guess as to why quant funds (mostly trend followers) have been underperforming: 1) assets under management is too large. I know many managers have been debunking this rationale, comparing the asset under management to market size and trading volume, but this is a very misleading analysis. Aside from the ES and a couple of rate products, liquidity for other products is actually surprisingly poor for fast moving systems. the marginal trader is becoming the CTAs and risk parity funds, which is naturally making their edge smaller. The closet trend followers make this even worse. 2) as a result of larger assets under management, and the disappearing edge from short term systems, funds are going longer term in trends...for example, instead of using 20 days, they use 200days when calculating trends...this is less responsive to volatility. this change has been going on for the past decade. This is the exact reason for quant's underperformance in Dec 2018, Jan 2019 and Mar 2020. Moves were sharper both in the upside and downside, and the trend followers were whipsawed. 3) why are these moves much sharper now? we will never have enough data points to make any conclusions, but we can speculate. my guess is that it's because of the large asset base using trend following methodologies...so we're back to where we started...other traders anticipate the needs of the model and trade before the trend followers...It may also be because of the responsive fed actions driving the upturn... 4) will quants continue to underperform in the future? yes. they will continue to be whipsawed since they are the marginal trader. Unless they change their models, they will continue to be the last to sell and last to buy. ironically, they need years of data to justify changing their model, and by the time they have it, maybe the world will change again...