Financial Times FT.com

Quant hedge funds blamed for turbulence

By Steve Johnson

Published: November 26 2007 02:00 | Last updated: November 26 2007 02:00

Quantitative hedge funds were responsible for August's stock market turbulence as too many of them attempted to de-leverage, then re-lever, at exactly the same time.

And this pattern is likely to repeat itself as assets under management and leverage levels return to levels seen in the summer, leading once more to overcrowding of the strategy, according to research conducted by Lehman Brothers Alternative Investment Management .

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