Abstract

http://ssrn.com/abstract=1679766
 
 

References (55)



 
 

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A Dynamic Future for Active Quant Investing


Rodney Sullivan


CFA Institute

Xi Li


Hong Kong University of Science & Technology

March 31, 2011

Journal of Portfolio Management, Vol. 37, No. 3, 2011

Abstract:     
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: 16

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Date posted: September 22, 2010 ; Last revised: August 15, 2011

Suggested Citation

Sullivan, Rodney and Li, Xi, A Dynamic Future for Active Quant Investing (March 31, 2011). Journal of Portfolio Management, Vol. 37, No. 3, 2011. Available at SSRN: http://ssrn.com/abstract=1679766

Contact Information

Rodney Sullivan (Contact Author)
CFA Institute ( email )
560 Ray C. Hunt Drive
Charlottesville, VA 22903
United States
Xi Li
Hong Kong University of Science & Technology ( email )
Clearwater Bay
Kowloon
Hong Kong
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