Quantitative investment and trading ideas, research, and analysis.
Monday, August 13, 2007
An update on why quantitative funds are losing money recently
A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recent losses are due to factor models gone bad. Given my expressed distaste for such models, that should have been my first guess instead of blaming the "exotic" models!