Comments on: Quantitative Investment Strategies: Pros and Cons

By: Mike

Mike — Mon, 30 Mar 2009 11:34:24 +0000

Hi rm. Thanks for the book suggestion. I just added it to my swaptree list.

By: rm

rm — Mon, 30 Mar 2009 03:02:13 +0000

Overall, quant strategies are just as impossible as most any other strategy of trying to consistently beat the market over a significant period of time. While markets aren’t entirely random, they’re nearly close enough to make prediction intractable. A great book is Mandelbrot’s “Misbehavior of Markets.”

By: Mike

Mike — Fri, 27 Mar 2009 17:12:58 +0000

Hi Kevin.

As much as I argued with it, thank you for bringing up that article. I found it pretty interesting indeed.

And I couldn’t agree more with your statement that investors should know exactly what they’re investing in–whether it’s an index fund, active fund, or otherwise.

By: Kevin

Kevin — Fri, 27 Mar 2009 17:09:03 +0000

Thanks, Mike, for the response.

I think your point about a quantitative system being just a slightly more sophisticated version of an active fund rings very true.

I guess I found the other beginning of the Fool article an interesting thing to bring up – that investors should still understand how an index fund actually divides your investment before you run off and make assumptions about its diversification.

By: Mike

Mike — Fri, 27 Mar 2009 00:18:10 +0000

Yeah, the only reason I was picking on quantitative funds in particular is that I was asked specifically what I thought of that one article.

As you know, I’m fairly skeptical about the value provided by any active fund.

By: Frank Curmudgeon

Frank Curmudgeon — Thu, 26 Mar 2009 22:26:47 +0000

Quantitative investing is just another flavor of active investing. It’s historically been lower fee than the traditionally run active funds only because those silly quants started out charging less.

Other than the fees, quant funds are just like any active fund from the investor’s point of view, and everything you say about them applies to active funds in general: higher cost, no guarantee that past performance will continue, etc.