Il dramma dei fondi hedge
La liquidazione di importanti portafogli quantitative equity ha evidenziato errori a catena fra i modelli quantitativi, a oggi considerati ragionevolmente robusti. Ciò ha provocato un'insolita volatilità dei rendimenti nonchß perdite mark-to-market multimiliardarie. I gestori di primari fondi hedge commentano gli eventi e le lezioni apprese conJayne Jung
Uno dopo l'altro, la maggioranza dei grossi nomi del quantitative equity ha rivelato importanti perdite mark-to-market. Secondo gli analisti, la liquidazione su larga scala di uno o più portafogli quant equity avrebbe innescato movimenti erratici dei corsi azionari e delle correlazioni, scatenando la crisi di agosto.
I più quotati gestori di hedge fund hanno totalizzato ingenti perdite mark-to-market (Risk settembre 2007, pagina 11) nei primi dieci giorni di agosto: il 9 agosto il fondo
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