Read e-book online Challenges in Quantitative Equity Management PDF

By Frank J. Fabozzi CFA, Sergio M. Focardi, Caroline Jonas

Quantitative fairness administration has mushroomed lately and now represents a good fraction of fairness asset administration. yet on account that mid-2007, it's been dealing with its first common problem with many quantitative managers underperforming without warning and via huge margins. utilizing a survey plus dialog procedure, the authors of this energetic and complete publication probe the minds of quants who're actively utilizing issue versions and security-level optimization to control inventory portfolios. The authors record their findings approximately how quants outline quantitative fairness administration, run a quant enterprise, and enforce their strategies (in specific, construct their models). Then, the authors flip to why the functionality of quant cash fell aside in the summertime of 2007 and what the hot demanding situations are.

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Sample text

First, we consider some definitions. What Is a Quantitative Investment Management Process? We call an investment process “fundamental” (or “traditional”) if it is performed by a human asset manager using information and judgment, and we call the process “quantitative” if the value-added decisions are primarily based on quantitative outputs generated by computer-driven models following fixed rules. We refer to a process as being “hybrid” if it uses a combination of the two. An example of a hybrid would be a fundamental manager using a computer-driven stock-screening system to narrow his or her portfolio choices.

Some sources believe that a fundamental overlay has value in extreme situations, but not everyone agrees. One source said, “Overlay is additive and can be detrimental; oversight is neither. It does not alter the quantitative forecast but implements a reality check. In market situations such as of July–August 2007, overlay would have been disastrous. The market goes too fast and takes on a crisis aspect. ” Among the 26 percent who believe that a fundamental overlay does add value, sources cited the difficulty of putting all information in the models.

For example, in a long– short fund, a heuristic for portfolio formation might be to go long a predetermined fraction of the stocks with the highest expected returns and to short a predetermined fraction of stocks with the lowest expected returns; to reduce turnover, the rule might also constrain the number of stocks that can be replaced at each trading date. Investment management processes are characterized by how and when humans intervene and how the various components work. In principle, in a traditional process, the asset manager makes the decision at each step.

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