Quant Hedge Funds Extend Worst Run Since 2023 as Momentum Slides

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Quantitative hedge funds are suffering their worst run since 2023 as a violent rotation under the surface of a bullish stock market batters momentum strategies. A long-short momentum strategy that buys recent winners and sells losers dropped more than 3% for a second straight week, taking its two-week loss to the worst in more than three years, according to an S&P Global index. Systematic long-short managers fell 2.1% last week through Thursday after a 3.1% decline the prior week, their worst since December 2023, Goldman Sachs prime brokerage data show. The selloff has been driven by a shift away from high-flying AI and chip stocks like Micron Technology toward cheaper, stodgier shares, with momentum volatility now running hotter than during the dot-com era. Despite the recent pain, systematic managers are still up about 11.1% this year, while fundamental peers have gained nearly 16%.

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