Model behaviour.
Automated trading systems do not always perform well. There are three different types of quantitative approaches to investing: trend-following systems, models that identify so-called value effects in shares, and systems that continuously search the markets for arbitrage opportunities. According t...
| Published in: | Economist Vol. 394; pp. 71 - 72 |
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| Format: | Article |
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Economist Newspaper Limited
1/23/2010
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| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=508134735&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 508134735 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00130613 ECO jtl: Economist issn: 00130613 maglogo: N pubinfo: dt: 1/23/2010 vid: 394 pid: 161 pub: Economist Newspaper Limited artinfo: ui: 508134735 ppf: 71 ppct: 1 formats: tig: atl: Model behaviour. aug: su: Hedge funds Rate of return Investments -- Data processing sug: subj: Hedge funds Rate of return Investments -- Data processing ab: Automated trading systems do not always perform well. There are three different types of quantitative approaches to investing: trend-following systems, models that identify so-called value effects in shares, and systems that continuously search the markets for arbitrage opportunities. According to the data provider Eureka-hedge, in 2008, futures funds in which investment decisions are generated by computer models returned an average of 18.2 percent whereas the typical fund of hedge funds declined 19.8 percent. However, managed-futures funds performed badly in 2009, with Man Group, one of the largest hedge-fund groups, reporting that its AHL automated trading system had experienced a disappointing end to the year. pubtype: Periodical doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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