EMU and the Regions by Paul Krugman

By Paul Krugman

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Sample text

We also use fundamental variables in the quantitative model to reduce the problems of pure quantitative strategies. The hybrid quantitative models provide a quantitative valuation and risk management framework for fundamentalsbased investment analysis. Therefore, hybrid quantitative models and strategies can be widely applied in traditional fixed-income portfolio management. Development. Instead of using existing quantitative models, which are usually inadequate for portfolio management (as I have already explained), we first develop our models for hybrid quantitative strategies.

It is difficult, however, to effectively apply these quantitative models for the core of fixed-income strategies because fixed-income portfolio management is a macro-fundamentals-based process that always has been—and still is—highly qualitative. Many of those existing pure quantitative strategies were specifically developed for Wall Street trading (the sell side) and take a narrow market focus; they are hardly applicable for buy-side firms. Most of these pure quantitative strategies have no market view (market neutral); their absolute returns are usually small, perhaps 5–10 basis points.

Because its risk factors are based on economic variables, the quantitative framework enhances portfolio managers’ understanding of 2002, AIMR® Hybrid Quantitative Strategies macro investment opportunities and helps them to express macro views in quantitative terms. ■ Risk segregation. In the hybrid quantitative framework, market dynamics and security valuation are modeled using a limited number of quantifiable independent factors, each corresponding to a unique fundamental meaning. Based on the hybrid quantitative analysis, portfolio market risk is decomposed into the dimensions of these independent factors.

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