Equity Valuation and Portfolio Management

2006 INTERTEK STUDY

The next study we discuss is based on survey responses and conversations with industry representatives in 2006.⁷ Although this predates the subprime mortgage crisis and the resulting impact on the performance of quantitative asset managers, the insights provided by this study are still useful. In all, managers at 38 asset management firms managing a total of $4.3 trillion in equities participated in the study. Participants included individuals responsible for quantitative equity management and quantitative equity research at large- and medium-sized firms in North America and Europe.⁸ Sixty-three percent of the participating firms were among the largest asset managers in their respective countries; they clearly represented the way a large part of the industry was going with respect to the use of quantitative methods in equity portfolio management.⁹

The findings of the 2006 study suggested that the skepticism relative to the future of quantitative management at the end of the 1990s had given way by 2006 and quantitative methods were playing a large role in equity portfolio management. Of the 38 survey participants, 11 (29%) reported that more than 75% of their equity assets were being managed quantitatively. This includes a wide spectrum of firms, with from $6.5 billion to over $650 billion in equity assets under management. Another 22 firms (58%) reported that they have some equities under quantitative management, though for 15 of these 22 firms the percentage ...