In 1978, so the story goes, the world’s first investment product reflecting a quantitative model was launched in the US by the former Wells Fargo investment division.
It was a simple strategy which tilted the portfolio towards stocks that paid higher dividends. Since then quantitative investment strategies have come a long way, with both the number of quantitative managers and other institutions mushrooming along with the number and variety of strategies employed.
In fact, recent criticism of the likely future effectiveness of quantitative strategies tends to centre on their popularity. Some commentators believe that the weight of money making similar bets when the world first felt the tremor of financial crisis in August 2007 contributed to the underperformance of quantitative managers.
Recovered ground by those managers since has dampened the debate and the search for new and better strategies has intensified, as has the development of better risk management techniques.
This is an edited transcript from a roundtable in Melbourne, sponsored by BNY Mellon Asset Management and its affiliate Ankura Capital, which looked at quantitative investments from the point of view of institutional investors and their advisers.
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