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Active Equity Management for the Future

Eric H Sorensen
The Journal of Portfolio Management Fall 2009, 36 (1) 60-68; DOI: https://doi.org/10.3905/JPM.2009.36.1.060
Eric H Sorensen
is the president and CEO of PanAgora Asset Management in Boston, MA.
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  • For correspondence: esorensen@panagora.com
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Abstract

Today, managers who are labeled quantitative are painted with a rather broad brush that references security breadth and formulaic empirical factor modeling, and managers who are labeled fundamental are marked by depth of analysis and human insight. Despite divergent styles, the basic differentiator is information—information sources, information processing, and information implementation. Sorensen argues that the evolution of quantitative equity investing will be marked by small, diversified, and additive elements of innovative information analysis (expert systems). As with earlier generations of quantitative equity modeling (value, quality, and so forth), the raw material will be fundamental and the goal will be to more efficiently mimic the best fundamental investors.

TOPICS: Equity portfolio management, quantitative methods, security analysis and valuation

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The Journal of Portfolio Management: 36 (1)
The Journal of Portfolio Management
Vol. 36, Issue 1
Fall 2009
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Active Equity Management for the Future
Eric H Sorensen
The Journal of Portfolio Management Oct 2009, 36 (1) 60-68; DOI: 10.3905/JPM.2009.36.1.060

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Active Equity Management for the Future
Eric H Sorensen
The Journal of Portfolio Management Oct 2009, 36 (1) 60-68; DOI: 10.3905/JPM.2009.36.1.060
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  • Article
    • Abstract
    • THE SUCCESS FACTOR
    • FUNDAMENTAL PROCESSES: BEHAVIOR PROBLEMS
    • QUANTITATIVE PROCESSES: MATH PROBLEMS
    • PRICE EFFICIENCIES AND EARNINGS: COMMON REALITIES FOR ALL
    • VALUATION, MISPRICING, AND THE FIRST FACTOR MODEL
    • WHEN WE ALL LOOK THE SAME
    • THE FUTURE: SHINING THE LIGHT IN THE RIGHT SPOT
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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