Friday, June 24, 2011
Programmed Obsolescence: The Generic Paradigm in Quantitative Equity Investing and Why It's in Trouble
By Tony Foley, Chief Investment Officer, D.E. Shaw Investment Management
In his paper, Foley examines the challenges facing quant managers today and argues that the generic approach — valuation and momentum alpha forecasts, highly standardized and often commercially available risk models, and mean-variance portfolio optimization tools — he’s termed the “generic paradigm,” has become vulnerable to competitive pressures and changes in the nature of global equity trading.
Download the full article here. From the June 2011 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In his paper, Foley examines the challenges facing quant managers today and argues that the generic approach — valuation and momentum alpha forecasts, highly standardized and often commercially available risk models, and mean-variance portfolio optimization tools — he’s termed the “generic paradigm,” has become vulnerable to competitive pressures and changes in the nature of global equity trading.
Download the full article here. From the June 2011 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
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