A Dynamic Future for Active Quant Investing

Posted: 22 Sep 2010 Last revised: 24 Sep 2018

See all articles by Rodney N Sullivan

Rodney N Sullivan

University of Virginia, Darden Graduate School of Business

Xi Li

University of Arkansas - Department of Finance

Date Written: March 31, 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.

Suggested Citation

Sullivan, Rodney N and Li, Xi, A Dynamic Future for Active Quant Investing (March 31, 2011). Journal of Portfolio Management 37 (3), 29-36, Spring 2011.. Available at SSRN: https://ssrn.com/abstract=1679766

Rodney N Sullivan (Contact Author)

University of Virginia, Darden Graduate School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-243-0644 (Phone)

Xi Li

University of Arkansas - Department of Finance ( email )

Fayetteville, AR 72701
United States

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