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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.
How funds can meet Sherry’s demand for fee reductions
The GFC has caused a rethink in so many
fundamental aspects of institutional investing, but none more so than in the
overlay of risk management principles and their implementation. A simple
assumption, for instance, that was implicit in the way some institutional investors,
in particular the big endowments, viewed liquidity was that you could always
turn wealth into cash. We have learnt that this is not always the case. 
Group insurance has typically been a
bit of an afterthought for super funds. Sure, the insurance sub-committee members
have long been immersed in it. Adjudicating in family squabbles over death
benefit payments, for example, can be an emotionally-wrenching task not often
associated with the work of a trustee. But for the most part, the insurance offer
has been a sideshow to the business of building sophisticated investment
portfolios, marketing to attract members and lobbying for a rise in the
compulsory contribution rate. 
