Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming

6 Pages Posted: 10 Jan 2015

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

AQR Capital Management, LLC; Cornell University - Operations Research & Industrial Engineering; RCC - Harvard University

Date Written: January 8, 2015

Abstract

Quantitative Meta-Strategies (QMS) are quantitative strategies designed to manage investment strategies. As a field, QMS can be defined as the mathematical study of the decisions made by the supervisor of a team of investment managers, regardless of whether their investment style is systematic or discretionary. Algorithmized investment processes can be tested and improved before being applied to a business. They provide objective and consistent oversight, and help prevent repeated mistakes. They are scalable and speed up quality improvement by limiting managerial frictions and biases.

Keywords: Strategy selection, Capital Allocation, Stop-outs, algorithmic decision making

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

López de Prado, Marcos, Quantitative Meta-Strategies (January 8, 2015). Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2547325

Marcos López de Prado (Contact Author)

AQR Capital Management, LLC ( email )

One Greenwich Plaza
Greenwich, CT 06830
United States

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

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

RCC - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

HOME PAGE: http://www.rcc.harvard.edu

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