No.PZ2021052002000024 (问答题)
来源:
Emma asks one of her analyst Rene to evaluate eligible equity strategies and creates a shortlist for further evaluation. One quantitative investing fund with excellent back-testing results gets his attention. When Rene shares this fund with Emma, he expresses his concern about the pitfalls associated with quantitative investing.
Other than trading cost, Identify and describe two potential pitfalls associated with quantitative investing.
Answer:
Any two of the followings will do:
Survivorship Bias: When back-tests use only those companies that are currently in business today, and ignore those have failed in the past and it leads to overly optimistic results and sometimes even causes investors to draw wrong conclusions.
look-ahead bias: This bias results from using information that was unknown or unavailable at the time an investment decision was made.
data mining: It can be described as excessive search analysis of past financial data to uncover patterns and to conform to a pre-determined model for potential use in investing.
考点：Equity + Active Equity Investing: Strategies + Pitfalls of A Fundamental and Quantitative Active Investment Strategy
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我的答案：
1.Quantitative investing based on history data,but history data is biased to forecast future.
2.The output depends on the input and the model,if the two is wrong,then the output is wrong.
所以pitfall和disadvantage不能混为一谈是吗？
