Archive for May 26th, 2008

How have quant equity funds fared?

May 26, 2008

I came across this CFA study from Fabozzi et al which is a survey of how equity Quants Funds have fared. Apart from the survey it is a nice primer on various topics like efficient markets, risk etc.

This website gives a nice summary:

Participants in the new Fabozzi-Intertek study commissioned by the Research Foundation of the CFA Institute attributed recent decay in performance at many quantitatively managed equity funds to rising correlation levels, style rotation and the fact that there are now more active quantitative managers using the same data and similar models. Specific to the problems many quantitative funds experienced in the summer of 2007, participants in the study attributed losses to the activity of hedge funds unwinding positions.
 
While alpha generation was identified by participants as the most important selling point for a quantitative fund, nearly three fourths of the study’s participants believe that it will become increasingly difficult for quantitative equity managers to find profit opportunities. The reason is that most models rely on similar predictive factors extracted from commercial data sets and academic models and therefore reach similar conclusions as regards investment opportunities.

An excellent survey!

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Assorted Links

May 26, 2008

1. Ajay Shah points to papers on capital inflows

2. MR points to father of economics Blogosphere – Donald Lavoie

3. WSJ Blog points to Trichet interview

4. PIB asks motivating employees with cash or gifts?

5. DB Blog asks is Georgia the next Singapore?


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