Quant Allocation In 2024

Key insights for allocators interested in quant investing

Are allocators still interested in quant investing? Recent years have left many quant funds in the shadows. However, a turning point for this sector may be coming. This collection of timely insights allows investors to spot the right moment for when to dive into the this space and explore the opportunities it offers.

Why Quant Matters for Future Alpha Generation (PGIM Quantitative Solutions)

As investors balance their need for alpha with low-risk, a quant’s focus on delivering attractive risk-adjusted alpha at a lower fee can be an appealing solution.

Revealing the Hidden Concentration Risk in U.S. Equities (Qontigo)

Throughout 2024, allocators have seen wide spreads between the statistical and fundamental variants in both the short and medium horizon forecasts for the U.S. market.

The Robust Reaction of Equity Volume and Spreads to Market Volatility (Vanguard)

For compliance reasons, this paper is only accessible in certain geographies

A quantitative approach can help investors better understand the relationship between U.S. stock-volume and bid-ask spreads.

Expert Aggregation for Financial Forecasting (Amundi)

For compliance reasons, this paper is NOT accessible in the United States

Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. This paper explores why this has been the case.

Trend-Following Primer (Graham Capital Management)

Trend-following strategies use a systematic process, whereby algorithmic models seek to identify price trends in markets. Allocators can use these strategies for different needs.

Can ChatGPT Improve Your Stock Picks? (Alpha Architect)

Although the experimental results presented in this research were impressive, there may be misconceptions that an LLM should provide the sole opinion for investment decisions.

Comovement and Time Varying Dynamics in Forecasting Commodity Prices (ECB)

Forecasting commodity prices, in particular, plays a key role in inflation projections in central banks, which remain at the centre of many investors' agendas.

When Risk Models Hallucinate (VoxEU)

Financial risk models are critical for the operation of financial institutions and financial regulations, but not perfect. Here is how investors can avoid their pitfalls.

IFTA Journal on Technical Analysis 2024 (IFTA)

Freely accessible large language models capable of performing natural language processing on publicly available financial documents can be applied to technical analysis.

Equity Market Timing: The Value of Consumption Data (Macrosynergy Research)

The Macrosynergy panel test uses the significance statistic of feature coefficients in a panel regression with period-specific random effects.