El artículo de William D. Cohan Man vs. Machine on Wall Street: How Computers Beat the Market no tiene pierde. Es una historia de cómo los nerds están tomando el control de Wall Street, usando computadoras y sus conocimientos avanzados de matemáticas, física y estadística para ganar miles de millones de dólares.
Cliff Asness, dueño de Advanced Quantitative Research explica que la diferencia entre el inversionista clásico (qual: cualitativo) y los cuantitativos es:
"A qual digs very deeply into potential investments, but he can only do that with so many stocks, so he needs to have a relatively high level of conviction that he is right, since he’s going to hold a pretty concentrated portfolio, say 10 or 20 stocks … A qual needs to be careful about not making mistakes–one bad mistake in a 10-stock portfolio can get ugly!" He continued: "A quant, on the other hand, has the ability to study thousands of stocks at once, and thus can hold much more broadly diversified portfolios. Because quants hold so many stocks, ones that are even slightly misvalued may still make sense … If you can find 500 stocks to bet on where each has a 51 percent chance of beating the market, then through diversification, the odds of your overall portfolio start to look pretty good."
Y después platica del éxito de la empresa:
Within AQR’s first 20 months, its $1 billion fund was reduced to $400 million. The firm was near complete collapse, but Asness fought hard to keep it alive. He added to his value investments as the bubble inflated and kept his short positions in place, with the hope that he could capitalize when it popped. He met repeatedly with investors, and argued that he would be proved correct once the hysteria subsided. And indeed, things soon turned around. From 2000 to 2002, in a bear market, AQR "made a ton of money," Asness said, and then for the next few years "made decent money" in a generally bull market.
No obstante, las inversiones basadas en sofisticados modelos cuantitativos tienen sus riesgos. Durante la crisis sufrieron golpes durísimos y también a inicios de este año, casi siempre por apostar a que no sucederían eventos improbables y catastróficos.
Un muy recomendable artículo.