03 Feb 2020


What’s behind the weak performance of quantitative investing?

Equity markets have been very kind to investors in recent years, with stock indices setting new records in Australia and overseas. Notwithstanding some episodes of turbulence along the way, these good results continue a decade-long run of mainly positive returns following the depths of the GFC in early 2009.

In terms of relative performance, however, the story for many has recently been more challenging, with investors of different stripes finding it hard to generate returns in excess of market benchmarks. Among the most challenged on this front have been investors following a systematic – or quantitative – methodology, for whom 2019 (and in many cases 2018) was a generally painful year. A Hedge Fund Research index of long-short equity hedge funds that employ “sophisticated quantitative techniques” showed negative returns for 2019, and we have seen disappointing results from many of the funds we follow that use these methodologies.

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