Quant Bust 2020

We explain in a nontechnical fashion why dollar-neutral quant trading strategies, such as equities Statistical Arbitrage, suffered substantial losses (drawdowns) during the COVID-19 market selloff. We discuss: (i) why these strategies work during "normal" times; (ii) the market regimes when they work best; and (iii) their limitations and the reasons for why they "break" during extreme market events. An accompanying appendix (with a link to freely accessible source code) includes backtests for various strategies, which put flesh on and illustrate the discussion in the main text

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Year of publication:	2020
Authors:	Kakushadze, Zura
Publisher:	[2020]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: World Economics 21(2) (2020) 183-217 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 7, 2020 erstellt
Other identifiers:	10.2139/ssrn.3570280 [DOI]
Classification:	G00 - Financial Economics. General ; G01 - Financial Crises ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General ; G23 - Pension Funds; Other Private Financial Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012837687