Machines of these developments brutal or imperceptible

The crisis has not only battered managers, it was also wrong number of "machines", yet well oiled. Quantitative management knows thus overall three years of disappointing performance, in any case on the shares. His models were taken in default by a crisis that "should encourage him to test new car more static, non-evolutionary models, are much too risky." "Change of plans, as we have known it in September 2008, including the bankruptcy of Lehman Brothers, are reminders for quantitative management that much remains to be done," says Emeric Challier, responsible for the management of quantitative funds Global Macro Afim-OFP.

But the world of quantitative management, methods and various philosophies, very heterogeneous rest, as well as that of discretionary managers, managers in flesh and bones. A study published by the Journal of Investing (1), has compared the performance of these two approaches to the investment on the actions of humans and robots, and a favourable period (January 2002-December 2006). Conclusions: on the basis of the main investment in each Fund process, only basic managers who select themselves the values are able to identify significantly the value. However, in themselves, other approaches to investment is in destroy not so.

Mix of techniques

Only managers, be they quantitative or discretionary, are rarely the "purist": they add to their principal investment process, other methods or tools. Thus, examples, 31 of the basic stamped funds also use quantitative methods to secondary title, and 40 of the "traffickers" were fundamental approach. Technical analysis is three times more used by conventional managers by machines (see the illustration on the left).

Only, it turns out that "when the Manager,"traffickers"or discretionary, deviates from its main technique and uses a combination of methods, performance suffers." "The fundamental techniques by"traffickers"use penalizes them clearly, so that sorting and selection of values by computer ("screening") penalizes this time managers"bottom-up"Editor's Note: those who build their portfolio on the basis of the financial analysis of each company without macroeconomic considerations", note the researchers. Indeed, quantitative managers are perfectly aware of the dangers to add a "fundamental" engine to their investment process. Two-thirds of them agree that it would add no value, according to a survey (2).

More than a gain in terms of performance, a combination of different techniques could have positive effects in terms of diversification (risk...). This is what there is to basic managers. Adding is neutral for "traffickers", and negative for the proponents of the "bottom-up" approach, which should remain "purists" to not be penalized.

Relevant indicators

In troubled and uncertain times, "the basic approach is probably better able to respond to the rapid changes in the environment, say academics, while in calm weather, the"traffickers"are probably better positioned". They are indeed hostile all the biases of behavior that can cost dear to the managers: overconfidence, hubris... One of the issues for them is to choose the leading indicators of the asset prices the most relevant of the bloated number of statistical series available... Some of them have indeed worked very well in the past, but not since the beginning of the crisis. Markets metamorphose with the environment that they reflect. Machines of these developments, brutal or imperceptible.

"Find the best leading indicators is a long and complex task.". It is necessary that these variables have some properties: stability, robustness, and history. We must also neutralize all seasonal changes, eliminate hazardous correlations between asset prices and statistics... "Thus, in future Finance IM in our range Afim-OFP only a limited number of explanatory variables (less than 1) are retained, with the hundreds of thousands of analyzed economic data," explains Emeric Challier.

Another site for some "traffickers": analysis of rapid and rigorous, systematic manner all information contained in the texts the more various, releases, articles... (read box on the left).