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London Hedge Fund News , reports on the Terrapinn conference yesterday on investment quantitative QuantInvest.

Pitfalls of quantitative modeling by S & P
Mitch Abeyta, Managing Director of Standard & Poors, said that quants did not use daily data from 20 years ago. Today, 76% of company reports preliminary information - and all assumptions behind this impact.

lag quarterly reports to the S & P500 firms in 1998 took 32 days, 60 days for annual reports. This year, it takes 22 days for quarterly reports, annual reports 45. 45 days was aggressive 20 years ago but it is getting better.

S & P noted that leads behind conservative look behind the delay causes prejudice and aggressively move forward even if the bias of a few months is more problematic.

He recommended the use of deadlines, if possible, "it is clearly much better than making an estimate." He noted that Q4 lags are more important than the other three, and that preliminary LAG are increasing due to the increasing amount of information being recorded. But the final offsets are declining.

Estimated LAG have built-in error.

With regard to the reprocessing of data, companies that change (accounting, etc.) are very good short candidates. Between 1988 and 2008, 53% of companies changed from 2 to 6% of their data, and 5.8% have changed more than 13%.

alternative beta
"That hedge funds produce alpha is a widely held belief," said Lars Jaeger, partner of Partners Group. But they are traded on the most effective.

There are different types of beta:
1. traditional beta (exposure to equities, interest rates, credit risk, emerging markets). It does not take much to extract these betas.
2. alternative beta factors (style, event risk, volatility, risk hedgers trading in futures markets, risk, liquidity risk of spread). It takes different techniques (short-circuit, leverage, derivatives) to extract alternative beta. "This is about what defines a hedge fund, he said.

Distinguish ......................

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