Odd Lots Inigo Fraser-Jenkins and Aaron Brown Debate The Future Of Quant Investing
Nov 23, 2020
Inigo Fraser-Jenkins, a quantitative strategist at Bernstein Research, and Aaron Brown, a professor at NYU's Math Institute and financial market expert, engage in a riveting debate about the future of quant investing. They discuss the recent struggles of traditional strategies in a changing market and whether these methods can still identify undervalued stocks. The conversation also delves into the impact of inflation on investments and the necessity for innovative approaches amid economic uncertainties. Can quant strategies adapt, or are they fading into the past?
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Quant Investing Under Scrutiny
- Quant strategies, especially value-based ones, have underperformed recently.
- This raises questions about their future viability and the need for adaptation.
Diversification's Downside
- Inigo Fraser-Jenkins argues that diversification, a core tenet of quant, has hurt performance.
- He suggests low real rates and policy responses to inflation are driving market concentration.
The Dollar's Impact on Value
- Aaron Brown agrees with Fraser-Jenkins, noting an unprecedented value drawdown since the financial crisis.
- He blames quantitative easing and low rates for changing the value of the dollar.