What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
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The views and opinions expressed in this article are those of the authors only, and do not necessarily represent the views and opinions of AlphaSimplex Group, MIT, the NBER, any of their affiliates and employees, or any of the individuals acknowledged below. The authors make no representations or warranty, either expressed or implied, as to the accuracy or completeness of the information contained in this article, nor are they recommending that this article serve as the basis for any investment decision---this article is for information purposes only. We thank Paul Bennett, Kent Daniel, Pankaj Patel, Steve Poser, Li Wei, Souheang Yao, and participants at the 2008 Q-Group Conference, the JOIM 2008 Spring Conference, the NBER 2008 Risk and Financial Institutions Conference, the NY Stern School Finance Seminar, and the 2008 QWAFAFEW Boston Meeting for helpful comments and discussion. Research support from AlphaSimplex Group and the MIT Laboratory for Financial Engineering is gratefully acknowledged.