广为引用的论文：2007年数量分析师究竟出了什么问题？

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该篇文章广为引用，2007年，很多根据数量模型建立的对冲基金遭遇了巨大损失，显示出市场上数量模型的强烈相关性，以及会计原则mark-to-market和做空的影响 作者：麻省理工学院Amir E. Khandani and Andrew W. Lo  摘要：During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of long/short equity portfolios based on five specific valuation factors, we find evidence that the unwinding of these portfolios began in July 2007 and continued until the end of 2007. Using transactions data, we find that the simulated returns of a simple marketmaking strategy were significantly negative during the week of August 6, 2007, but positive before and after, suggesting that the Quant Meltdown of August 2007 was the combined effects of portfolio deleveraging throughout July and the first week of August, and a temporary withdrawal of marketmaking risk capital starting August 8th. Our simulations point to two unwinds---a mini-unwind on August 1st starting at 10:45am and ending at 11:30am, and a more sustained unwind starting at the open on August 6th and ending at 1:00pm---that began with stocks in the financial sector and long Book-to-Market and short Earnings Momentum. These conjectures have significant implications for the systemic risks posed by the hedge-fund industry.

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关键词：数量分析 分析师 Quantitative Transactions Implications 2007 数量分析