CPI Hits 3.7%: Hedge Funds Hit $5.63T
Daily Digest
01 US September CPI Rises 0.6% MoM, 3.7% YoY; Stagflation Risk Intensifies
Cleveland Fed President Beth Hammack warned that sticky services inflation could become entrenched. Core CPI rose 0.3% MoM and 2.6% YoY, while energy prices surged 5.2% MoM. Wage growth of 3% lags inflation, and loan delinquencies for 20% of households exceed the 12% recorded at the end of 2022. Inflation expectations for 5- to 10-year horizons stand at 3.5%. The probability of an October rate hike has risen from 22% to 49%, with the meeting just one week before the midterm elections. 1
02 HK Stock Connect Training Focuses on AI and Multi-Asset Allocation
The Asset Management Association of China (AMAC) and the Hong Kong Exchange (HKEX) are co-hosting an in-person training session. Open to public and private fund managers, with a limit of 1-3 participants per institution, the session runs from 9:00 to 17:15 on October 29 at the Beijing Yanjing Hotel. It comprises eight sessions covering the new ETF ecosystem under market connectivity and risk management toolkits. Participation is free, but registration via the practitioner management platform is required by the 28th. Physical sign-in counts toward training hours. 3
Industry News
03 Morgan Stanley Q3 EPS of $3.03 Beats Expectations
Net revenue reached $20.3 billion (+12%), with EPS of $3.03, surpassing the expected $2.91. The beat was almost entirely driven by equity trading, which surged 41% YoY to $5.8 billion, supported by broad strength across product lines and Asian markets. Fixed income (-7%) and investment banking (+2%) both missed expectations. 1
04 Global Hedge Fund Launches Drop 40% in Q2; Liquidations Nearly Halve
The industry’s total AUM reached $5.63 trillion. Equity and macro strategies lead in new fund launches, with 40 and 27 new funds respectively, while 31 and 20 funds were closed. Performance dispersion widened, with the top decile averaging 31.6% returns and the bottom decile falling 8.7%, a gap of 40.3 percentage points. Management fees remained stable at 1.32%, while incentive fees dropped to 15.74%. Goldman Sachs and UBS lead prime brokerage, with capital continuing to concentrate among large, mature managers. 6
Quant Research
05 Drawdown Control in Equity Markets: Cross-Asset State-Space Trading System (CAST)
Mainstream equity prediction methods optimize returns or Sharpe ratios under i.i.d. assumptions but struggle with catastrophic drawdowns caused by assumption failures in real markets. How can we effectively control max drawdown without sacrificing long-term survivability?
This study proposes the Cross-Asset State-Space Trading System (CAST). Its predictor uses a cross-asset协同 Kalman Filter (CoKF) to online estimate the latent states of each asset, coupling them via cross-asset correlations and adaptively fusing multiple ensemble random-walk orders. The controller employs Model Predictive Control (MPC) to translate predictions into trades, using prediction uncertainty as an explicit risk penalty to control drawdowns.
Over a 15-year testing window across four real equity markets, CAST consistently occupies the return-drawdown Pareto frontier. While maintaining strong risk-adjusted performance, its max drawdown is significantly lower than competitive benchmarks. Stress tests further validate its robustness under market shocks and distribution shifts.
This work has been accepted for presentation at the IEEE International Conference on Data Mining (ICDM 2026), authored by Yu Peng, Matloob Khushi, and Josiah Poon, and posted on arXiv on September 13, 2026. 10
06 Structured Stochastic Differential Equations for Implementing GARCH
How can we break through the limitations of traditional discrete models in leveraging intraday high-frequency information to achieve more accurate one-day-ahead integrated volatility forecasts?
This study proposes a structured continuous-time stochastic volatility model. It directly drives latent variance dynamics through jointly evolving realized measurement states and captures return correlation dependencies via correlated Brownian innovations.
Parameters are estimated using simulation-based predictive learning, with Monte Carlo simulations generating integrated volatility forecasts. Backtests across 17 stock indices show that this model significantly outperforms GARCH, GARCH-Itô, Realized GARCH, HAR, and HEAVY benchmarks under QLIKE, MSE, and MAE metrics.
Ablation studies confirm that realized measurement feedback provides the primary incremental predictive value, while return-correlation Brownian dependencies contribute moderate complementary gains. This work has been accepted at the NeurIPS 2026 STODY workshop, authored by Hongyu Yao, Zhengyang Chi, and Junbin Gao, and is currently available as an arXiv preprint (posted October 13, 2026). 9
Quant Careers
07 Quant Job Alert: 31 Companies Open 107 Positions
Featured: Mingxi Capital (MX Capital) – Quantitative Trading System Development Engineer (Hongkou District, Shanghai)
This role is primarily responsible for maintaining exchange and broker API integrations, ensuring stable market data subscription and order query services. You will also participate in the development and iteration of core modules such as strategy execution, market data processing, and order management on Linux, assisting the investment research team in engineering the deployment of strategies from backtest to live trading.
Requirements include a Bachelor’s degree or above in Computer Science, Mathematics, or Financial Engineering, with 1-3 years of experience in quantitative trading systems. Proficiency in Python and C++ is required, along with familiarity with CTP, QMT, and XTP interface integration and Linux troubleshooting. Experience in private equity or proprietary live trading is preferred.
This role is close to the trading front line, offering clear growth opportunities and the chance to accumulate experience in multi-asset live trading and Tick data processing. 13
Data analysis indicates that since September, the company has sequentially posted various roles, signaling active hiring.
Over the past 7 days, we have identified 115 quantitative trading-related companies (private equity, hedge funds) posting 495 job opportunities.
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