RESEARCH FOUNDATION OF CFA INSTITUTE MONOGRAPH Challenges in Quantitative Equity Management

Since the late 1990s, a large percentage of assets under management has flowed into quantitatively managed funds, driven primarily by the superior performance of the funds relative to traditional actively managed funds. More recently, this performance has deteriorated, and an important question the authors ask is: What does the future hold for the quantitative investment management industry? They discuss issues related to active quantitative equity portfolio management, such as how the techniques are performing in today’s markets, their effect on price discovery, market efficiency, and the apparent existence of herding behavior among managers. They also address whether a hybrid investment style will evolve that combines the best of traditional judgmental and quantitative investment techniques. The authors use surveys and a series of conversations with asset managers and other interested participants to address these issues.