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A Dynamic Future for Active Quant Investing

16 Pages Posted: 22 Sep 2010 Last revised: 19 Oct 2014

Rodney N Sullivan

AQR Capital Management

Xi Li

Hong Kong University of Science & Technology (HKUST)

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)

AQR Capital Management ( email )

Two Greenwich Plza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com/Home.aspx

Xi Li

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

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