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Investment Management
Challenges in Quantitative Equity Management

Authors: Frank J. Fabozzi, Sergio M. Focardi, Caroline Jonas
Editions: Research Foundation Publications (CFA Institute)
Pages: 110 pages
Date: April 2008
Quantitative equity management has mushroomed recently and now represents a respectable fraction of equity asset management. But since mid-2007, it has been facing its first widespread crisis—with many quantitative managers underperforming all at once and by large margins. Using a survey plus conversation method, the authors of this lively and comprehensive book probe the minds of “quants” who are actively using factor models and security-level optimization to manage stock portfolios. The authors report their findings about how quants define quantitative equity management, run a quant business, and implement their processes (in particular, build their models). Then, the authors turn to why the performance of quant funds fell apart in the summer of 2007 and what the new challenges are.

Topics covered include
  • Equity Investments
  • Leadership, Management, and Communication Skills
  • Portfolio Management
  • Equity Portfolio Management Strategies
  • Quantitative Methods
About the Authors:

Frank J. Fabozzi, CFA, is currently Professor of Finance at EDHEC Business School. At the time of writing, he was professor in the practice of finance and Becton Fellow in the School of Management at Yale University and editor of the Journal of Portfolio Management. Prior to joining the Yale faculty, Professor Fabozzi was a visiting professor of finance in the Sloan School of Management at Massachusetts Institute of Technology. He is a fellow of the International Center for Finance at Yale University, is on the advisory council for the Department of Operations Research and Financial Engineering at Princeton University, and is an affiliated professor at the Institute of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe in Germany. Professor Fabozzi has authored and edited numerous books about finance. In 2002, he was inducted into the Fixed Income Analysts Society’s Hall of Fame, and he is the recipient of the 2007 C. Stewart Sheppard Award from CFA Institute. Professor Fabozzi holds a doctorate in economics from the City University of New York.

Sergio M. Focardi was previously Professor of Finance at EDHEC Business School. He was a founding partner of The Intertek Group, where he is a consultant and trainer on financial modeling. Mr. Focardi is on the editorial board of the Journal of Portfolio Management and has co-authored numerous articles and books, including the Research Foundation of CFA Institute monograph Trends in Quantitative Finance and the award-winning books Financial Modeling of the Equity Market: CAPM to Cointegration and The Mathematics of Financial Modeling and Investment Management. Most recently, Mr. Focardi co-authored Financial Econometrics: From Basics to Advanced Modeling Techniques and Robust Portfolio Optimization and Management. Mr. Focardi holds a degree in electronic engineering from the University of Genoa.

Caroline Jonas is a founding partner of The Intertek Group, where she is responsible for research projects. She is a co-author of various reports and articles on finance and technology and of the books Modeling the Markets: New Theories and Techniques and Risk Management: Framework, Methods and Practice. Ms. Jonas holds a BA from the University of Illinois at Urbana–Champaign.