Quant Funds Hit by Historic Momentum Crash Amid Treasury Bond Intervention
Systematic hedge funds recorded their worst single-day performance in over two years on Wednesday, driven by extreme volatility in momentum strategies. This sharp decline occurred despite a broader market rally, triggered by the US Treasury’s decision to double its long-term bond buybacks and a massive surge in Moderna shares following positive cancer trial results. While the S&P 500 rose, quant funds lost 1.4%, marking a historic divergence between systematic strategies and broad market indices. The event highlights ongoing instability in AI-related sectors and the fragility of current market correlations.