Quantitative vs. Fundamental Analysis in Institutional Money Management: Where's the Beef?

Posted: 22 May 2019

See all articles by Russell B. Gregory-Allen

Russell B. Gregory-Allen

Massey University - Department of Commerce

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management

Jeffrey Scott Stangl

Massey University - School of Economics and Finance

Date Written: April 3, 2009

Abstract

In the money management industry, there is a "quiet" controversy over who does a better job, Traditional Managers (Fundamentalists), or Quantitative Managers. This issue has been examined by Gruber (1996), and Pastor and Stambaugh (2003) and more recently by Zhao (2006) and Wermers, Yao and Zhao (2007) using mutual fund portfolios. We reexamine this issue using the Plan Sponsor Network Database (PSN), a survivorship free database, which reports on how managers actually manage investment portfolios with respect to both style and types of stock selection methods used. Our empirical results indicate that when examining performance purely attributable to the use of a distinct Primary Investment Process, only the Fundamental approach is shown to significantly add value. However, when examining marginal performance of a Secondary Process, over and above a Primary approach, no process adds value, and in fact some detract.

Keywords: Mutual Funds, Quantitative, Fundamental

JEL Classification: G11, G12, G23

Suggested Citation

Gregory-Allen, Russell B. and Shawky, Hany A. and Stangl, Jeffrey Scott, Quantitative vs. Fundamental Analysis in Institutional Money Management: Where's the Beef? (April 3, 2009). https://doi.org/10.3905/JOI.2009.18.4.042. Available at SSRN: https://ssrn.com/abstract=1269715 or http://dx.doi.org/10.2139/ssrn.1269715

Russell B. Gregory-Allen (Contact Author)

Massey University - Department of Commerce ( email )

Auckland
New Zealand

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management ( email )

School of Business
1400 Washington Ave.
Albany, NY 12222
United States
518-442-4921 (Phone)
518-442-3944 (Fax)

Jeffrey Scott Stangl

Massey University - School of Economics and Finance ( email )

Auckland
New Zealand
+64 414 0800 (9487) (Phone)

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