Market reversals trigger losses for intraday quant strategy

Equity trend strategies designed to hedge against market drops have suffered in recent turmoil

Market reversal

A defensive quant strategy that was already under scrutiny after a run of lacklustre performance has suffered one of its worst days on record.

Equity intraday trend strategies, which enter positions during early trading and exit before the close, lost more than 2% on January 24.

“It was red across the board,” says one quant at a large investment firm.

A benchmark of US equity intraday strategies run by PremiaLab, a quant data company, lost 2.13% that day. JP Morgan’s US Momentum QES Index – a

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