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Quantitative Portfolio Management Strategies

The best recent white papers on quant portfolio strategies

The fortunes of "quant" portfolio strategies will ebb and flow over time, but regardless of returns, a quantitative approach to portfolio management provides insights which would otherwise be hidden from view.

In the list below, we round up some of the best recent research papers on the subject of quantitative portfolio management. These papers cover factor investing, long-term return forecasting, absolute return strategies, risk parity and much more besides.

fractal quant strategies


Invesco Vision Portfolio Management Decision Support System (2019)

For compliance reasons, this paper is only accessible in the United States

In this excellent, 70 page document, Invesco sets out processes for modelling assets & liabilities, quantitative portfolio construction and portfolio analytics.

Invesco Vision Portfolio Management Decision Support System (2019)

For compliance reasons, this paper is NOT accessible in the United States

In this excellent, 70 page document, Invesco sets out processes for modelling assets & liabilities, quantitative portfolio construction and portfolio analytics.

What, Exactly, Is a Factor? (Axioma, 2019)

There is probably over $2 trillion of AUM in factor strategies. But what, exactly, is a factor? Axioma sets out to answer this fundamental question.

How to Make Equity Allocations More Resilient (Intech, 2019)

For compliance reasons, this paper is only accessible in the United States and Canada

Intech examines the why and how of defensive equity investing, with a particular emphasis on low volatility strategies. The authors examine the benefits, the risks and the case for defensive equity strategies.

Understanding the role of alternative risk premia (Wellington Management, Sep 2018)

Wellington Management's primer on alternative risk premia segments ARP strategies into four categories of alternative risk premia, discussing objectives, implementation challenges, and portfolio construction.

Artificial Intelligence: Real opportunity (Franklin Templeton, 2019)

For compliance reasons, this paper is only accessible in the EMEA region

In a world where AI is ever-present, and computing power is a commodity, data will become the real differentiating factor, and companies with proprietary datasets will win out in the long-run.

Crowded Trades: Implications for Sector Rotation and Factor Timing (State Street)

State Street examines the characteristics of crowded trades which may are sometimes associated with bubbles. How realistic is it for investors to play such a trade, but to exit before the selloff?

Indexing Risk Parity Strategies (S&P Dow Jones Indices, 2018)

This paper examines the S&P Risk Parity Indices, which use futures to mimic the risk/return characteristics of risk parity funds.

The Current State of Quantitative Equity (CFA Institute Research Foundation)

This 74 page paper from the CFA Institute Research Foundation returns to first principles to examine risk and return and to explore the current state of play in MPT, APT, factor investing and big data.

Factor investing: get your exposures right! (BNP Paribas AM, 2018)

What is the best way to use factors in the construction of an equity portfolio? This paper examines robust ways to derive an optimal portfolios.

Popular Methods for Forecasting Long-Term Equity Trends (PGIM, 2018)

The PGIM team examines two common methodologies for forecasting future ten-year equity market returns.

Alternative approaches to multi-factor index construction (FTSE Russell, 2018)

Should multi-factor indexes be constructed using a bottom-up or top-down framework? FTSE Russell compares different approaches to factor index construction.

Step Optimization and Portfolio Design (Jacobi, 2018)

Jacobi shows how a Step Optimization approach, using incremental changes to asset allocation, can overcome the shortcomings of traditional portfolio optimization processes.

What Happened to the Quants in 2018? (Mellon Capital)

Mellon Capital examines the underperformance of quant strategies in 2018, with a particular focus on Alternative Risk Premia (ARP) strategies. What were the drivers of this negative alpha, and what lessons can be drawn?

You Can't Always Trend When You Want (AQR Capital Management, 2019)

In this 12 page paper, AQR discusses the drivers of return from trend-following strategies, arguing that a momentum approach will add significant value over the long-term.

Podcast: Inside the Mind of a Quant, Part 2 (State Street Global Advisors)

This podcast seeks to burrow into the quant mindset and discusses how an appreciation of human behavior can help in the quest for alpha.

Three Blunders That Plague Factor Investing (Research Affiliates, 2019)

The authors argue that the philosophy behind factor investing is compromised by a number of problems that investors often fail to understand. For this reason, it has failed to live up to expectations.

Robeco Quarterly - focusing on sustainable investing and quant investing (2019)

The latest edition of Robeco's quarterly magazine includes a number of articles on quant investing.

Beyond Currency Hedging (PIMCO, 2019)

In this 15 page quantitative research paper, the authors suggest that common industry practices around currency hedging and currency management should be reconsidered.

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