帖一篇有关2007年有关美国 Quant Meltdown 的研究论文 文中得出结论是以前盈利的靠统计套利为工具的对冲基金在2007年7,8月间大幅亏损的主要原因是相似投资策略组合流动性的突然下降。 怕理解不准确帖一段原文： It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market 大家讨论一下，这里指的相似的策略组合啥意思啊，莫非好几个大公司用的策略相似？ 还有就是这个流动性对小散来说不是问题，但是这个事件确实说明统计套利的问题就是它的模型前提发生了问题，这个又是无法预测和模型化的，那这个又如何化解呢？ 不好意思，现在发不了附件，大家谷歌学术一下就可以了： WHAT HAPPENED TO THE QUANTS IN AUGUST 2007?: EVIDENCE FROM FACTORS AND TRANSACTIONS DATA 为了节省大家时间我贴一下摘要： During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of long/short equity portfolios based on five specific valuation factors, we find evidence that the unwinding of these portfolios began in July 2007 and continued until the end of 2007. Using transactions data, we find that the simulated returns of a simple marketmaking strategy were significantly negative during the week of August 6, 2007, but positive before and after, suggesting that the Quant Meltdown of August 2007 was the combined effects of portfolio deleveraging throughout July and the first week of August, and a temporary withdrawal of marketmaking risk capital starting August 8th. Our simulations point to two unwinds---a mini-unwind on August 1st starting at 10:45am and ending at 1:30am, and a more sustained unwind starting at the open on August 6th and ending at 1:00pm---that began with stocks in the financial sector and long Book-to-Market and short Earnings Momentum. These conjectures have significant implications for the systemic risks posed by the hedge-fund industry 问一下各位这里的unwind如何翻译啊