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 how quant funds failed. summery from article from |
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ceo/cfo
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加入时间: 2004/11/05
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作者：ceo/cfo 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
WSJ (卫生间）or (猥琐姐） 
A number of quant funds, which use statistical models to find winning trading strategies, reported heavy losses this month. In many cases, the managers pointed their fingers at other quantitative hedge funds, essentially saying they all owned many of the same stocks and their models told them all to sell at the same time, driving down the share prices, hurting everyone in the process.
SEC data showed as of the end of June, quantitative hedge funds often shared large positions in the same stocks. Renaissance held 1.1% of the shares outstanding of NVR Inc., a Virginia construction and home-building company. AQR Capital Management, another quant fund, held 0.9% of the company's shares and quant fund Numeric Investors had a 1.6% stake.
It was found 148 other companies with market capitalizations between $2 billion and $10 billion where large quant funds owned 5% or more of the shares outstanding.
The risks to quantitative investing may be rising. Even if they don't share the same statistical models, quant funds share similar approaches to the market. They are schooled in the same statistical methods, pore over the same academic papers and use the same historical data. As a result, they can easily come to similar conclusions about how best to invest.
作者：ceo/cfo 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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 how quant funds failed. summery from article from -- ceo/cfo - (1308 Byte) 2007-8-25 周六, 04:55 (1102 reads)
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