A Dynamic Future for Active Quant Investing
Hong Kong University of Science & Technology
March 31, 2011
Journal of Portfolio Management, Vol. 37, No. 3, 2011
Active quantitative portfolio management is on the verge of change, we believe towards a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes. The static quant-driven approach to active management in widespread use today is ill-equipped to deal with market environments that diverge substantially from typical conditions. We discuss what changes are needed at this important juncture for the active quant community to maintain relevance and improve the odds of long-term investment success. Among our recommendations, we suggest active quants broaden their focus by adopting a top-down (macro-driven) approach with the design flexibility to accommodate investment success in our complex dynamic capital markets.
Number of Pages in PDF File: 16Accepted Paper Series
Date posted: September 22, 2010 ; Last revised: August 15, 2011
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