Caroline Jonas

Abstract: In this article, we provide an update discussion of the major findings of a 2007 study on quantitative equity portfolio management and their implications for equity portfolio managers. The study is based on conversations with asset managers, investment consultants, and fundrating agencies as well as survey responses from 31 asset managers in the United States and Europe. In total, 12 asset managers and eight consultants and fund-rating agencies were interviewed, and 31 managers with a total of $2194 trillion in equities under management participated in the survey. Half of the participating firms are based in the United States; half of the participating firms are among the largest asset managers in their countries. Survey participants included chief investment officers of equities and heads of quantitative management and/or quantitative research. Despite some recent performance issues—not limited to quantitatively managed funds—we conclude that, given the number of investable assets, in the range of thousands, the trend towards using financial modeling in equity portfolio management will continue. Models are and will remain part of the asset management decision-making process though just how they are used and their depth of use will continue to vary from firm to firm.