What quants can learn from the Covid crisis

More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado

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Quantitative funds have flopped during the coronavirus crisis. True, there are mitigating factors, not least the one-third drop in the value of the S&P 500 and other equity indexes during the early days of the sell-off. But even equity market-neutral strategies – those that were meant to insulate investors against such plunges – have suffered losses.

Quant fund managers will be asking themselves what could they have done differently, and how can they learn from this period of market trauma? We

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