Quantitative Methods - Articles & White Papers

With the economic and investment landscape evolving rapidly, some institutional asset owners are championing a new model for ensuring that asset allocations continue to remain aligned with their investment objectives.

Institutional investors are allocating more capital and resources to unlisted infrastructure investments for their purported stable and high income returns, relatively low correlation with other asset classes, and suitability for hedging long-duration liabilities. These characteristics, along with investor attention to their…

We continue to view the recent pause as a needed consolidation following the impressive rebound from the April lows with further upside expected into early-mid Q3.

When selloffs come, it’s often the highflyers that have the furthest to fall. Each of the quality index’s top 10 constituents has a unique story. But the net result has been deeper losses than the market. Meanwhile, some previously underperforming factors like low volatility, value, and yield have held up better.

Institutional investors are increasingly considering unlisted infrastructure for its potential total returns, diversification benefits, and potential for more consistent returns compared to other illiquid private asset classes. Since 2015 the unlisted infrastructure market has grown at a CAGR of 19.7% for a total of $1.2t by…

To keep enjoying high equity returns, investors need to rely increasingly on active alpha.

Quantitative investing is inspired on the insight that certain stock characteristics – or factors – are associated with higher long-term returns. Value, momentum, quality, and low risk are widely recognized as offering robust, persistent premiums. But what about growth? Is it a factor in its own right, or simply a…

We present a unified approach to the design of trend-following (TF) systems and their classification into European, American, and Time Series Momentum systems.

This project explores three distinctive hedge fund trading strategies—quantitative timing, fundamental long-only investing, and statistical arbitrage via pairs trading. Each strategy is motivated by both theoretical principles and empirical testing, with a strong emphasis on robustness and risk management across diverse…

Vanguard experiments with artificial intelligence to help predict which companies are likely to cut dividends.

This handbook is the one-stop guide to understanding the macro-quantamental technology. It is both an introduction and a compendium.

Historically, the market (beta) gave great returns just by being in it. But those days may be ending. In a future where the market returns less, investors will need to rely more on alpha – returns from skill and strategy.

Recent generations of frontier language models have introduced Large Reasoning Models (LRMs) that generate detailed thinking processes before providing answers. While these models demonstrate improved performance on reasoning benchmarks, their fundamental capabilities, scaling properties, and limitations remain…

Navigating risk in today’s markets requires looking beyond generic frameworks. PGIM Quant’s customized approach to risk management shifts away from off-the-shelf risk models to align risk control with client-specific objectives and investment strategies and address the inefficiencies associated with standard models.

The S&P is bouncing back from first support near its 200- and 100-day moving averages following a brief pullback from resistance near 6000. In contrast, the EAFE index (Europe, Asia and the Far East) is trending to all time highs as equity markets recover from recent tariff threats.

We define allocation-focused regimes through the relative performances of investment strategies rather than broad economic conditions. To identify and forecast allocation-focused regimes, we propose a hybrid identification-forecast framework that integrates regime identification using statistical Jump Models, regime…

Let’s break down how to build a robust factor portfolio—without getting lost in the weeds. Three steps. No fluff. Here’s what we’re covering: why factor investing even matters, which factors have historically delivered and what it actually takes to live with a factor portfolio.

Given a goal of enhancing a portfolio's long-term return by tilting it toward the size and value factors, and given an existing core exposure to the broad stock market, is it better to add one (small/value) satellite or two (one small-cap and one value) satellites? The results here suggest that, all things considered,…

We study the Active Share (AS) of quantitative actively managed U.S.equity funds (quants). Our results suggest that closet indexing is a common practice among these funds, with 50% of the assets in quants managed by closet indexers by the end of 2019. This fraction significantly exceeds that observed among human-managed…

Swade, Hanauer, Lohre, and Blitz present a powerful and detailed approach for selecting the strongest factors to capture available alpha. They provide concrete steps investment managers can take to identify the most relevant equity factors.