Sunday, September 29, 2024

Discretionary versus quant - Tied to the growth value choice





The Man Institute in their posting "The Quant Renaissance: How Alternative Approaches Are Driving the Rebirth of Systematic Investing" note that quant strategies have positive information ratios versus discretionary value managers during value market periods and  discretionary strategies have high information ratios relative to quant strategies during growth periods. Perhaps a mix of holding both may be a nice way to balance quant and discretionary strategies. Better yet, if you can measure or determine when value is in favor, hold more quant exposure and when the market is in a growth environment hold more discretionary managers.

It is not easy to determine when there is a growth or value market except by looking at performance. There can be several macro reasons for a growth or value environment, so this issue becomes more complex, but it is good to start with some simple conditional environments to help with asset allocation.



 

No comments:

Post a Comment