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Article

A Dynamic Future for Active Quant Investing

Xi Li and Rodney N. Sullivan
The Journal of Portfolio Management Spring 2011, 37 (3) 29-36; DOI: https://doi.org/10.3905/jpm.2011.37.3.029
Xi Li
is a visiting scholar and research fellow at Boston College in Boston, MA, and a managing partner of XL Partners.
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  • For correspondence: Xi.Li@bc.edu
Rodney N. Sullivan
is the head of Publications at CFA Institute in Charlottesville, VA.
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  • For correspondence: Rodney.Sullivan@cfainstitute.org
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Abstract

Li and Sullivan believe that active quantitative portfolio management is on the verge of moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes. In widespread use today, the static quant-driven approach to active management is ill-equipped to deal with market environments that diverge substantially from typical conditions. The authors discuss what changes are needed at this important juncture for the active quant community to maintain relevance and improve the odds of long-term investment success. Active quants must broaden their focus beyond typical systematic bottom-up quantitative inputs to emphasize top-down qualitative evidence. Such a judgment- based, top-down (macro-driven) approach offers the flexibility necessary to achieve investment success in complex, dynamic capital markets.

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The Journal of Portfolio Management: 37 (3)
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Spring 2011
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A Dynamic Future for Active Quant Investing
Xi Li, Rodney N. Sullivan
The Journal of Portfolio Management Apr 2011, 37 (3) 29-36; DOI: 10.3905/jpm.2011.37.3.029

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A Dynamic Future for Active Quant Investing
Xi Li, Rodney N. Sullivan
The Journal of Portfolio Management Apr 2011, 37 (3) 29-36; DOI: 10.3905/jpm.2011.37.3.029
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  • Article
    • Abstract
    • ACTIVE ALPHA
    • ACTIVE ALPHA SHORTCOMINGS
    • THE FUTURE OF ACTIVE INVESTING
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