Active Equity Management for the Future

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