Strategies

Quantitative Analysis

Investing strategy that uses mathematical and statistical modeling to predict future investment performance

Terms

Quant

Mentioned by the Following

Entities

AQR Capital Management
Alpha Architect
Ascendere Associates
Assured Capital Partners
DARMA Capital
Dow Jones Newswires
Glenn Williams Jr LLC
Hull Trading Company
Julex Capital Management
Logica Capital Advisers
Long Term Capital Management
LongTail Alpha
MJX Asset Management
Neuravest Research
Pivot Analytics
Portfolio Management Consultants
Redwood Investments
Sunrise Capital Partners
ThirdYear Capital
Virtus Investment Partners
Zacks Investment Research
i10 Research

People

Aaron Brown
Aaron Uitenbroek
Adam Posen
Andrew Lo
Armando Gonzalez
Arthur Breitman
Benn Eifert
Bob Johnson
Chris Balding
Chris Johnson
Cliff Asness
Damien Conover
Daniel Ahn
Eric Sorensen
Galen Burghardt
George Brod
George Patterson
George Pruitt
Gerald Jensen
Giovanni Tinella
Glenn Williams Jr
Gregg Fisher
JD Henning
Jack Forehand
Jeff Miller
Jesse Knutson
Jim O'Shaughnessy
Jim Simons
John Kolovos
John Kosar
Jon Markman
Jonas Elmerraji
Keith Brown
Kevin Davey
Kevin Smith
Lawrence Lewitinn
Lev Dynkin
Luis Seco
Luke Brindle
Marc Gerstein
Marc Ostwald
Marco Kolanovic
Martin Gruber
Martin Kollmorgen
Matt Peron
Matt Rowe
Michael Covel
Mike Drury
Nick Maggiulli
Nigam Arora
Patrick Gregory
Philip Fischer
Raphael Douady
Rishi Narang
Robert Johnson
Robert Ross
Ron Rowland
Ross Gerber
Rudy Martin
Siddhartha Jha
Stephen Brown
Stephen Castellano
Steve Hanke
Taesik Yoon
Tammer Kamel
Tony Sagami
Trevor Mottl
William Maxwell
Yan Liberman

Publications

Contours of the World Economy 1:2030 AD
Currency Trading in the Forex and Futures Markets
Damn Right!
Forbes Investor
Higher Probability Commodity Trading
The Daily Dirtnap
The Prudent Speculator

  • People who follow this strategy are often called Quants
  • Goal is to replicate high alpha returns by using mathematics - saving on costs


Common investment factors that quants work with (there are thousands):
  • Often rely on the recent past - don't look far back enough in time/history
    • Usually only go back max 30 years (data from before the 80s is hard to get)
    • This time period doesn't take into account all cycles and is a period with consistently falling rates (does not include rising rate environment)
  • Grants Interest Rate Observer there are errors in quantitative strategies
    • Quants assume that the future will look like the past, when in reality every day is different
    • Quants don't try to understand history - they just back-test it