Citigroup 花旗：全球股市策略研究

－数量型对冲基金面临困境

16 August 2007 | 12 pages

Global Equity Strategy Quants Turn Toxic

 Quants Funds Grow — Quant funds have won mandates from qualitative investors
discredited by the TMT boom/bust. Quant-based funds now account for 25% of
global equity hedge funds. Strong risk-adjusted returns have attracted investors.
 Is Quant in the Price? — Favourite quant investment factors (eg valuation) are
being arbitraged away. If everybody back-tests the same data, they will probably
put on the same trades.
 Time to Be More Qualitative — Perhaps this is time to adopt a more qualitative
approach. Maybe good old-fashioned human intuition does have something to add
in the portfolio construction process.
 Quant Dislocation — After years of excellent risk-adjusted returns, favoured quant
strategies have suddenly become very volatile. This has produced extreme distress
amongst some of the largest quant hedge funds.
 Hedge Fund Simulator — We put together a simple hedge fund model to consider
the current predicament of quant hedge funds. We discover that this is more of a
hedge fund problem than a quant problem.
 Hedge Fund Economics — Our analysis emphasises the vulnerability of hedge
funds to the vicious circle of redemptions and margin calls. This can create
significant dislocation in markets, as they are forced to precipitously reduce
positions.
 Quant Distress Not Over — We suggest that quant hedge fund distress may not be
finished. Favourite quant strategies (GARP, Value, Earnings Revision) could
continue to struggle.