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shivkumar
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Joined: 02/Oct/2007
Location: India
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Posts: 2037
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   Topic: Lotus AMC's quant fund
Posted: 25/Oct/2007 at 6:28pm |
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Lotus AMC has launched India's first quant fund. Can anyone one say how such a thing works in India. Markets are volatile, but the AMC says it will concentrate by holding positions in just 11 companies and trade using mathematical models.
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kulman
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Joined: 02/Sep/2006
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Posted: 25/Oct/2007 at 6:32pm |
Hmm....very very very interesting to say the least.
As I was a dumb student of mathematics in school+college, I would keep myself away.
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Life can only be understood backwards—but it must be lived forwards
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basant
Admin Group
Joined: 01/Jan/2006
Location: India
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Posted: 25/Oct/2007 at 6:49pm |
Originally posted by shivkumar
Lotus AMC has launched India's first quant fund. Can anyone one say how such a thing works in India. Markets are volatile, but the AMC says it will concentrate by holding positions in just 11 companies and trade using mathematical models. |
Hmmm.. TED Xi now Lotus XI
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'The Thoughtful Investor: A Journey to Financial Freedom Through Stock Market Investing' - A Book on Equity Investing especially for Indian Investors. Book your copy now: www.thethoughtfulinvestor.in
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FundManager
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Joined: 25/Oct/2007
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Posted: 25/Oct/2007 at 7:57pm |
* Shivkumar--- how it works is very simple... based on filters designed to shortlist only large & liquid stocks with some price history, the model chooses 11 stocks based on mathematical parameters broadly designed to identify momentum.
the assumption is since these stocks are amongst the largest in the country and the most liquid, price discovery is efficient and so is information pertaining to them. so all the information and value is reflected in the momentum and if this momentum can be identified at the right time, then it should be easy to generate some outperformance.
Such models can be backtested to see whether they work or not, and invested in on the assumption that what seems to have worked in the past will work in the future.
*Kulman-- you dont need to be a pilot to travel by air... :)
*Basant--much as i tried, i couldnt get TED XI.. could you please tell?
Cheers, guys
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kulman
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Joined: 02/Sep/2006
Location: India
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Posted: 25/Oct/2007 at 8:11pm |
Kulman-- you dont need to be a pilot to travel by air... :)
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As regards flying you are right. Well I do fly as a passenger seldomly. A bit afraid of dizzying heights though! However I would never fly a plane run by auto-pilot. (read: quant models)
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Life can only be understood backwards—but it must be lived forwards
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basant
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Posted: 25/Oct/2007 at 8:19pm |
Originally posted by FundManager
* Shivkumar--- how it works is very simple... based on filters designed to shortlist only large & liquid stocks with some price history, the model chooses 11 stocks based on mathematical parameters broadly designed to identify momentum.
the assumption is since these stocks are amongst the largest in the country and the most liquid, price discovery is efficient and so is information pertaining to them. so all the information and value is reflected in the momentum and if this momentum can be identified at the right time, then it should be easy to generate some outperformance.
Such models can be backtested to see whether they work or not, and invested in on the assumption that what seems to have worked in the past will work in the future.
*Kulman-- you dont need to be a pilot to travel by air... :)
*Basant--much as i tried, i couldnt get TED XI.. could you please tell?
Cheers, guys |
Hi! Nice to see you here with that explanation. This is a link to the TED Xi.
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'The Thoughtful Investor: A Journey to Financial Freedom Through Stock Market Investing' - A Book on Equity Investing especially for Indian Investors. Book your copy now: www.thethoughtfulinvestor.in
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FundManager
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Joined: 25/Oct/2007
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Posted: 25/Oct/2007 at 8:36pm |
*Kulman-- Aaah, the power of not knowing... most planes fly by autopilot... :) The pilots just take off and land... the rest of the flying is AP... in this case, the research that would go into developing the model would be take off stage...
*Basant-- looks like really hot picks... nt much of a equity guy myself, more inclined towards the math that drives it, though...:)
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johnnybravo
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Joined: 17/Jan/2007
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Posted: 25/Oct/2007 at 8:42pm |
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If autopilots were so experts, pilots wouldn't be the most paid professionals!
Even the analogy holds true here.
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