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Aaron Brown

Anti-Quant Investing Manifesto Misses the Mark

Sure, some popular strategies have underperformed, but that just means it’s time to tweak the algorithms. 

All is not one in one corner of Wall Street.

All is not one in one corner of Wall Street.

Photographer: Timothy A. Clary/AFP via Getty Images

The most revealing sentence in the anti-quantitative investing manifesto by Sanford C. Bernstein & Co.’s Inigo Fraser Jenkins is this one: “The rules are changing for investors to a degree we have not seen in decades.” In fact, it has been almost exactly two decades since the market has displayed the behavior that made Jenkins, who Bloomberg News describes as one of Wall Street’s most famous quant analysts, an apostate:

I was a quant investor during those years in the late 1990s, and I recall market analysts saying the same things. This time is different. Ignore the past. Forget diversification and value, and buy the hottest tech stocks regardless of outmoded measures like book value, earnings and cash flow.