how does stock market volatility correlate with quant hedge fund losses?

[simonsays]

Bloomberg report that GS and AQR experienced significant declines in November. I'm assuming that this is just because their behavioral arbitrage methods just aren't adaptive in the midst of large fluctuations, and either they haven't changed them since August (not likely), recent market dynamics were "different" from those seen back then, or their basic understanding of phase transitions and the associated signal processing is flawed. Shaw arbitraged simple behavioral anomalies for years (dividend effect), so they were obviously very persistent. Anyone guess what these fund managers are trying to do, and what gets in their way at times like ours?

[math_trading_coding]

Shaw arbitraged simple behavioral anomalies for years (dividend effect)



 



What is the dividend effect ?

[Baltazar]

i think Simon reffers to the following:



let say a stock trades 20 for some time, people then think 20 is the value of the stock. That stock pays 1 euro dividend, logically it should trade at 19 but people don't pay attention and are so used to see it at twenty that they push it back to 20.