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  #1  
Old 11-21-2007, 11:48 AM
DesertCat DesertCat is offline
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Default Quant Funds and the August Meltdown

Interesting article discussing quant strategies and regular hedge fund strategies, and how they handled the august melt down.
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  #2  
Old 11-21-2007, 12:33 PM
adios adios is offline
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Default Re: Quant Funds and the August Meltdown

Yeah this was pointed out in a few places. Sell the winners to buy the losers. LTCM deja vous more or less.
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Old 11-21-2007, 03:27 PM
PRE PRE is offline
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Default Re: Quant Funds and the August Meltdown

Pretty basic.

But did anyone else get the sense that the two funds talked about were Ren Tec and Global Alpha (at least the latter)?
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Old 11-21-2007, 03:36 PM
DcifrThs DcifrThs is offline
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Default Re: Quant Funds and the August Meltdown

[ QUOTE ]
Pretty basic.

But did anyone else get the sense that the two funds talked about were Ren Tec and Global Alpha (at least the latter)?

[/ QUOTE ]

pretty sure it is DEshaw and GSAM.

Barron
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  #5  
Old 11-21-2007, 04:54 PM
stephenNUTS stephenNUTS is offline
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Default Re: Quant Funds and the August Meltdown

[ QUOTE ]
Interesting article discussing quant strategies and regular hedge fund strategies, and how they handled the august melt down.

[/ QUOTE ]

Great article of how computer based funds or programs...dont/cant react to the pyschology of the market and eventually they must adapt ,change or can go BUSTO without the eventual intervention of a QUALIFIED market person/leader.They write these quants with such EXTREME risk without many of their investors(or THEM even knowing it)using pure math/theory as a nucleus......Most of these funds developed by these "propeller heads" are running wild where MOST of them dont have a [censored] clue what to do,when an event such as this happens.

The same thing happened in 1987 with the "original" program trading debacle ....arbing the S+P futures vs.the Cash equities side....exasberating the decline,before even those BRAIN surgeons figured it out

Unreal how naive some people are....including a majority of clueless rocket scientists from MIT on WS

LOL....I cant believe I actually finally saw the "propeller head" reference in an article [img]/images/graemlins/smile.gif[/img]

They come...and they usually GO [img]/images/graemlins/smirk.gif[/img]
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  #6  
Old 11-21-2007, 09:13 PM
ImBetterAtGolf ImBetterAtGolf is offline
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Default Re: Quant Funds and the August Meltdown

The story referenced a paper by Andrew Lo who writes "A significant rebound of these strategies occurred on August 10th, which is also consistent with the sudden liquidation hypothesis. This hypothesis suggests that the quantitative nature of the losing strategies was incidental, and the main driver of the losses in August 2007 was the firesale liquidation of similar portfolios that happened to be quantitatively constructed."

This was a problem of a crowded and leveraged "trade", much like other crowded trades - quant and nonquant. Some of the issues pointed out in the story are accurate, but the details are generally wrong.

By the way, while all quant funds were affected, including those cited in the posts above, the story's attribution of actions to some thinly disguised funds are way off base. If you think of the funds they mention as just generic quant funds without worrying about which ones, you will get a better picture. The authors got some basic concepts right, but they aren't very well informed.
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  #7  
Old 11-21-2007, 09:19 PM
stephenNUTS stephenNUTS is offline
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Default Re: Quant Funds and the August Meltdown

[ QUOTE ]
The story referenced a paper by Andrew Lo who writes "A significant rebound of these strategies occurred on August 10th, which is also consistent with the sudden liquidation hypothesis. This hypothesis suggests that the quantitative nature of the losing strategies was incidental, and the main driver of the losses in August 2007 was the firesale liquidation of similar portfolios that happened to be quantitatively constructed."

This was a problem of a crowded and leveraged "trade", much like other crowded trades - quant and nonquant. Some of the issues pointed out in the story are accurate, but the details are generally wrong.

By the way, while all quant funds were affected, including those cited in the posts above, the story's attribution of actions to some thinly disguised funds are way off base. If you think of the funds they mention as just generic quant funds without worrying about which ones, you will get a better picture. The authors got some basic concepts right, but they aren't very well informed.

[/ QUOTE ]


Thats Fair.....as I dont know of any specific affected funds with me being out of the WS loop for 2 yrs for the most part........but the article DID paint a pretty nasty picture of them IMO?

Stephen [img]/images/graemlins/cool.gif[/img]
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  #8  
Old 11-21-2007, 09:48 PM
ImBetterAtGolf ImBetterAtGolf is offline
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Default Re: Quant Funds and the August Meltdown

What did it really say? Most of the quant funds are leveraged, but so is every bank and a vast number of other funds. Yes, there are some similarities between quant funds, and so too are there similarities within every class of fund. And, it's correct that they did have to deleverage when their equity shrank causing the ratio of assets/equity (leverage) to begin to rise too high. That's not much of an indictment; you could substitute almost any other type of fund here for "quant".

One thing that did happen was that on average these funds got more leveraged over the past few years, mostly because market volatility dropped. Otherwise, take out the references to "brainiacs", "MIT", "PhD", etc., and you don't have much. What am I missing?
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  #9  
Old 11-22-2007, 02:18 AM
pig4bill pig4bill is offline
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Default Re: Quant Funds and the August Meltdown

I think the key problem with the quants is believing what the companies told them. Any program is no better than the inputs. Part of the inputs used to determine if a stock was "undervalued" were the financials. Many of the crappier financial stocks hid, and continue to hide, facts regarding their crappy CDO portfolios, et al.

Even now, they aren't disclosing what deep do-do they are in. However, the public knows better and is slamming the hell out of them. The programs are blind and can only see the numbers released in public information.
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  #10  
Old 11-22-2007, 02:39 AM
PRE PRE is offline
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Default Re: Quant Funds and the August Meltdown

[ QUOTE ]
[ QUOTE ]
Pretty basic.

But did anyone else get the sense that the two funds talked about were Ren Tec and Global Alpha (at least the latter)?

[/ QUOTE ]

pretty sure it is DEshaw and GSAM.

Barron

[/ QUOTE ]

Barron,

Which fund is which?
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