[DcifrThs]

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PhD fund is likely DE Shaw, but they only mention domestic equities for their producet in the article. DE Shaw is very active in international equities as well. So maybe it's something else.

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nah:

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Let's create a hypothetical quant fund called the PhD Fund. The fund is owned by a big name Wall Street firm and is marketed on the street to wealthy individuals and institutions under the banner of a "market neutral" fund. This means that the net exposure for the fund is zero, or, in other words, the dollar amount of long positions in the portfolio is offset by the dollar amount of short positions.

The PhD Fund employs dozens of "propeller heads" (a hedge fund moniker for our mathematically inclined friends in quant shops). They build computer-based models that try to find and trade overvalued and undervalued stocks. Some of these models are longer term but some are short term, and so in order to trade in and out of these markets, these funds need to trade large, liquid positions.

The PhD Fund chooses to play in the US stock market because of this market's breadth and depth of securities. Let's assume that PhD Fund has dozens of measures for stocks in certain sectors and their models are constantly being built and augmented. They have income models that look at EBITDA, quarterly earnings, growth and more. They have balance sheet models that look at debt to equity ratios and book value, among other figures. They have technical models that look at short term momentum, daily volume, open interest and daily tic-by-tic trade data. You get the picture. These funds employ highly paid Gepettos, pulling the strings on computer models and trying to create money out of historical data.



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that has gotta be GSAM. i'm fairly certain of that.

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Meanwhile, across town, a competing quant fund called the Braniac Fund feared the market would worsen and hit the reset button, liquidated all positions and went to cash. They lost faith in their models and believed they could easily lose more money. In an effort to get some breathing room and reassess, they overrode their model: human intervention. The Braniac Fund posted a -30% loss for August and were lambasted by their peers for lack of faith in the computers.



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this, i'm less sure ie DE Shaw. the reason i think it is though is b/c i've heard some unsubstantiated rumors about the troubles it is in right now. i don't want to spin the rumor mill by conveying the exact extent of it but this being DEshaw would not surprise me.

alternitively, it could be AQR. but AQR is in stamford so not really "accross town." DEshaw on the other hand is in midtown while GSAM i think is downtown though i'm not sure where the global alpha offices are (could be midtown also).

i think rentech survived and probably flourished but who knows.

Barron