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The Journal of Alternative Investments

The Journal of Alternative Investments

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Primary Article

Implementable Quantitative Research

Frank J. Fabozzi, Sergio M. Focardi and Christopher K. Ma
The Journal of Alternative Investments Fall 2005, 8 (2) 71-79; DOI: https://doi.org/10.3905/jai.2005.591579
Frank J. Fabozzi
Frederick Frank Adjunct Professor of Finance at the Yale School of Management in New Haven, CT.
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  • For correspondence: fabozzi321@aol.com
Sergio M. Focardi
A founding partner of The Intertek Group in Paris.
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  • For correspondence: interteksf@aol.com
Christopher K. Ma
President of KCM Asset Management, Inc. and Roland George Chair of Applied Investments at Stetson University in DeLand, FL.
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  • For correspondence: kcma@stetson.edu
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Abstract

The easy accessibility of high-speed computing power and the dominant role of institutional trading in recent years have resulted in the inevitable trend of implementing quantitative research and investment strategies. The gradual move of replacing traditional human judgments with machine calculations is based on the assumption that computers outperform most humans. Since a quantitative process is capable of systematically handling a large amount of information quickly and consistently, ambiguity and unpredictability which are often associated with subjective choices during decision making can be kept to a minimum. For fact or fancy, most modern portfolio managers include some form of quantitative approach in their overall investment process. This article explains the process of performing quantitative research and converting that research into implementable trading strategies. It seeks to reconcile the best of both worlds and identify concerns in the process of investment research and management.

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The Journal of Alternative Investments
Vol. 8, Issue 2
Fall 2005
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Implementable Quantitative Research
Frank J. Fabozzi, Sergio M. Focardi, Christopher K. Ma
The Journal of Alternative Investments Sep 2005, 8 (2) 71-79; DOI: 10.3905/jai.2005.591579

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Implementable Quantitative Research
Frank J. Fabozzi, Sergio M. Focardi, Christopher K. Ma
The Journal of Alternative Investments Sep 2005, 8 (2) 71-79; DOI: 10.3905/jai.2005.591579
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