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…

Commodity ETFs have underperformed both U.S. stock and bond markets since their introduction in 2005. A possible explanation is that large inflows into these products might have caused their managers to increase long hedges, thereby pushing commodity markets into contango, where futures prices exceed expected spot prices,…

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…

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…

How have factor indices performed in the Australian market?

Systematic equity strategies and disciplined diversification can help multi-asset portfolios thrive in unpredictable markets.

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.

The authors of this paper propose a framework for integrating approaches to liability-driven investing with the pursuit of ESG or other nonfinancial investment goals. They build on the previously introduced concept of an “investible liability index” (ILI), which matches projected liabilities with a portfolio of marketable…

FTSE Russell identifies historical macro environments most relevant to today’s conditions and leverage those insights to inform adaptive equity factor rotation strategies.

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…