Pensions & Investments reports this week that quant managers all scrambled for the same exit doors last week because they were all in the same theater at once.  Lehman’s Matthew Rothman tells the newspaper:

“The traditional quant factors that everyone (uses) because they work — like EBITDA (earnings before interest expense, taxes, depreciation and amortization) to EV (enterprise value), price momentum — did very badly. The more correlated you were to these factors and to other managers who use them, the worse you performed.

Jim Simons’ letter to investors concerning the recent performance of the quant behemoth Renaissance Technologies echoes the same idea.  Simons says:

August (down 8.7% through today) is a different story. The culprit is not the Basic System but our predictive overlay. While we believe we have an excellent set of predictive signals, some of these are undoubtedly shared by a number of long/short hedge funds. For one reason or another many of these funds have not been doing well, and certain factors have caused them to liquidate positions.

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