October 2012
Intermediate to advanced
716 pages
24h 44m
English
Content preview from CAIA Level II: Advanced Core Topics in Alternative Investments, 2nd Edition
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CHAPTER 37
Quantitative Equity Hedge Fund Strategies
This chapter focuses on the more quantitative and systematic approaches to managing equity hedge funds. Systematic approaches, also known as quantitative equity market neutral (EMN) strategies, employ more computer resources and extensive use of data in their selection of investments. Quantitative equity market neutral strategies are often birthed from academic, empirical, and financial anomalies or minor/major modifications along this vein of the research. Practitioners often attempt to extract economically substantial profits from these known empirical anomalies by rigorously considering transaction costs and capacity constraints.
This chapter focuses on equity market neutral strategies as premier examples of quantitative equity hedge fund strategies. The analysis of this chapter covers essential information on equity market neutral strategies but leaves the technical details in citations for those who wish to investigate further.
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