Bridge over ocean
1 April 2008 Research Foundation

Challenges in Quantitative Equity Management (corrected July 2008)

  1. Frank J. Fabozzi, CFA
  2. Sergio M. Focardi
  3. Caroline Jonas
Challenges in Quantitative Equity Management (corrected July 2008) View the full book (PDF)

Quantitative equity management has mushroomed recently and now represents a respectable fraction of equity asset management. But since mid-2007, it has been facing its first widespread crisis—with many quantitative managers underperforming all at once and by large margins. Using a survey plus conversation method, the authors of this lively and comprehensive book probe the minds of “quants” who are actively using factor models and security-level optimization to manage stock portfolios. The authors report their findings about how quants define quantitative equity management, run a quant business, and implement their processes (in particular, build their models). Then, the authors turn to why the performance of quant funds fell apart in the summer of 2007 and what the new challenges are.

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