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25 years, 25 CEOs: Peter Clarke, CEO, Man Group
03 February 2012
To celebrate its 25th anniversary, Global Investor/ISF interviewed 25 CEOs. The recent upswing in assets to the hedge fund industry is a result of its excellent risk management in the crisis, says Peter Clarke
The crisis did raise questions about quantitative trading strategies; in particular banks’ reliance on mathematical models was called into question by the crisis. But we must separate here the models’ purpose from their implementation.
I suspect that the concern regulators had – even before the crisis – was whether the risk models of banks were accurate when it came to the fat tail events – in other words did they accurately model how bad things could get? Here the failure was in cumulative impact analysis, in particular around accurately assessing the impact of failing liquidity.
It’s also worth pointing out that the selling was to do with the fact that people had set their stop-losses at the same level – say a drop in the markets of 4% over a week – rather than simultaneous selling of the automated program trading funds per se. Hedge funds were actually net buyers as the markets...
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