"Perhaps life is too short to wait for mean reversion?"
Sanford Bernstein's top quant is having an identity crisis.
"I was hired by my current employer with a job title that involved the phrase 'quantitative strategy.' I have come to the conclusion that I have no idea what that label really means," Inigo Fraser Jenkins wrote in a recent note. "The rules are changing for investors to a degree we have not seen in decades."
The era of the quant started at the turn of the millennium and there was a time that the only way to get a job on Wall Street was with an advanced math degree. Certainly some of the greatest stretches of outperformance of all time were via quantitative strategies, but few are working anymore.
A Bernstein sample of US quant managers has trailed their benchmarks by 3.3% this year, compared to 0.6% of outperformance by their fundamental peers, according to strategist Alla Harmsworth. Bloomberg has more.
In a year like this I think everyone can see the value in following fundamentals. As for what's next, it depends on your view of US stimulus, inflation and the election. I'm sure we're in an era of easy money from central banks and governments and that's a long-term tailwind for risk trades and commodities.
