Quantitative Investing With an Acadian Twist

(Bloomberg Opinion) -- Acadian Asset Management was a quant shop before it was fashionable. It began running money on the basis of quantitative analysis in the 1980s. Over time, Acadian evolved from a non-U.S. all-cap equity manager to a global manager. Today, it manages over $86 billion in assets.

John Chisholm, co-chief executive of Acadian, was formerly the firm’s chief investment officer. He said the firm combines a quantitative approach with traditional factor investing (including value, quality, trend, liquidity, capitalization and others) in different types of weightings. Its  offerings include Managed Volatility, Long/Short, and Multi-Asset Class strategies.

The firm developed an optimizer to balance risk, reward and trading costs to create its portfolios. Acadian’s approach allows institutions to engineer risk and reduce trading costs while still obtaining the benefits of factors.

His favorite books are here; a transcript of our conversation is here.

You can stream or download the full conversation, including the podcast extras on iTunesBloombergOvercast, and Stitcher. All the Masters in Business podcasts can all be found at iTunesStitcherOvercast, and Bloomberg.

Next week, we speak with Matthew W. Granade, Chief Market Intelligence Officer and a Managing Director at Point72 Asset Management.

This column does not necessarily reflect the opinion of the editorial board or Bloomberg LP and its owners.

Barry Ritholtz is a Bloomberg Opinion columnist. He founded Ritholtz Wealth Management and was chief executive and director of equity research at FusionIQ, a quantitative research firm. He is the author of “Bailout Nation.”

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