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1、WhatHappenedToTheQuantsInAugust2007?AmirE.KhandaniyandAndrewW.LozFirstDraft:September20,2007LatestRevision:November4,2007AbstractDuringtheweekofAugust6,2007,anumberofquantitativelong/shortequityhedgefundsexperiencedunprecedentedlosses.BasedonTASShedge-funddataandsimulationsofaspeci clong/
2、shortequitystrategy,wehypothesizethatthelosseswereinitiatedbytherapidunwind"ofoneormoresizablequantitativeequitymarket-neutralportfolios.Giventhespeedandpriceimpactwithwhichthisoccurred,itwaslikelytheresultofaforcedliquida-tionbyamulti-strategyfundorproprietary-tradingdesk,possiblyduetoam
3、argincallorariskreduction.Theseinitiallossesthenputpressureonabroadersetoflong/shortandlong-onlyequityportfolios,causingfurtherlossesbytriggeringstop/lossandde-leveragingpolicies.Asigni cantreboundofthesestrategiesoccurredonAugust10th,whichisalsocon-sistentwiththeunwindhypothesis.Thisdislo
4、cationwasapparentlycausedbyforcesoutsidethelong/shortequitysector
5、inacompletelyunrelatedsetofmarketsandinstruments
6、suggestingthatsystemicriskinthehedge-fundindustrymayhaveincreasedinrecentyears.Theviewsandopinionsexpressedinthisarticlearethoseoftheauthorsonly,anddonotnecessarilyrepresentt
7、heviewsandopinionsofAlphaSimplexGroup,MIT,anyoftheiraliatesandemployees,oranyoftheindividualsacknowledgedbelow.Theauthorsmakenorepresentationsorwarranty,eitherexpressedorimplied,astotheaccuracyorcompletenessoftheinformationcontainedinthisarticle,noraretheyrecommendingthatthisarticleservea
8、sthebasisforanyinvestmentdecision
9、thisarticleisforinformationpurposesonly.WethankCli Asness,MihirBhattacharya,JerryChafkin,NicholasChan,PeterCurley,DaveDeMers,ArnoutEikeboom,JacobGold eld,ShaneHaas,JasminaHasanhodzic,JoeHaubrich,JoanneHill,MikeHogan,JayKaufman,HayneLeland,BobLitterman,Jame
10、sMartielli,HarryMamaysky,SteveMobbs,PankajPatel,TonyPlate,SteveSapra,MichaelRogers,DavidShaw,JonathanSpring,AndreStern,IngridTierens,PhilVasanandseminarparticipantsattheBostonSecurityAnalystsSociety,CitigroupAlter-nativeInvestments,theInternationalMonetaryFund
