Skip to main content
MENU
Subscribe
  • Sign Up Free
  • LOGIN
  • Subscribe
  • Topics
    • Alternatives
    • Consultants
    • Coronavirus
    • Courts
    • Defined Contribution
    • ESG
    • ETFs
    • Face to Face
    • Hedge Funds
    • Industry Voices
    • Investing
    • Money Management
    • Opinion
    • Partner Content
    • Pension Funds
    • Private Equity
    • Real Estate
    • Russia-Ukraine War
    • SECURE 2.0
    • Special Reports
    • White Papers
  • Rankings & Awards
    • 1,000 Largest Retirement Plans
    • Top-Performing Managers
    • Largest Money Managers
    • DC Money Managers
    • DC Record Keepers
    • Largest Hedge Fund Managers
    • World's Largest Retirement Funds
    • Best Places to Work in Money Management
    • Excellence & Innovation Awards
    • WPS Innovation Awards
    • Eddy Awards
  • ETFs
    • Latest ETF News
    • Fund Screener
    • Education Center
    • Equities
    • Fixed Income
    • Commodities
    • Actively Managed
    • Alternatives
    • ESG Rated
  • ESG
    • Latest ESG News
    • The Institutional Investor’s Guide to ESG Investing
    • ESG Sustainability - Gaining Momentum
    • Climate Change: The Inescapable Opportunity
    • Impact Investing
    • 2022 ESG Investing Conference
    • ESG Rated ETFs
  • Defined Contribution
    • Latest DC News
    • DC Money Manager Rankings
    • DC Record Keeper Rankings
    • Innovations in DC
    • Trends in DC: Focus on Retirement Income
    • 2022 Defined Contribution East Conference
    • 2022 DC Investment Lineup Conference
  • Searches & Hires
    • Latest Searches & Hires News
    • Searches & Hires Database
    • RFPs
  • Performance Data
    • P&I Research Center
    • Earnings Tracker
    • Endowment Returns Tracker
    • Corporate Pension Contribution Tracker
    • Pension Fund Returns Tracker
    • Pension Risk Transfer Database
    • Future of Investments Research Series
    • Charts & Infographics
    • Polls
  • Careers
  • Events
    • View All Conferences
    • View All Webinars
    • 2023 Defined Contribution East
    • 2023 ESG Investing
Breadcrumb
  1. Home
  2. Print
March 21, 2005 12:00 AM

JPMorgan Fleming forms council to share quantitative expertise

Vince Calio
  • Tweet
  • Share
  • Share
  • Email
  • More
    Reprints Print

    NEW YORK — JPMorgan Fleming Asset Management has formed a "global quantitative council," becoming the latest — and largest — manager to jump on the risk-management band wagon.

    The new council is headed by Harriett Baldwin, a managing director and head of currency management in the firm's London office. The group will comprise the 50 or so quantitative experts from all of JPMorgan's offices to share ideas and research, said Ms. Baldwin. They will meet three to four times per year and share ideas at other times through e-mail.

    "JPMorgan has always had a deep bench of quants who all used to be in stand-alone departments," said Ms. Baldwin. "We rethought that model at the end of the '90s, and then we had quants in each individual department." Ms. Baldwin said when the firm merged with Bank One Corp. last year, it gained several new investment professionals, many of whom were quantitative researchers. In order to incorporate their ideas into the firm, the quant council was formed.

    "There's been a lot of good quantitative thinking in our company. The goal here is a simple one: bring together all of these quant thinkers from across the firm who are often working on similar systems from around the world to share ideas and best practices. We believe there's always been strong demand for quantitative management; we've always used a combination of the arts and sciences."

    Tight risk controls

    Quantitative managers typically use tight risk controls and multifactor optimization models to develop investment portfolios. Their goal usually is to create an enhanced or structured portfolio that gains incremental returns over a given benchmark, typically in the range of one to five basis points.

    JPMorgan is not alone in placing more emphasis on quantitative management. In the past year, firms such as ING Investment Management, New York; Victory Capital Management Inc., Cleveland; and New York Life Investment Management LLC made similar moves.

    ING recently set up a centralized research department consisting of five senior quantitative researchers and eight senior fundamental analysts, said Rick Nelson, chief investment officer. Mr. Nelson said the bottom-up researchers work in close harmony with the quants to produce optimized portfolios. The system was developed in February 2004, when the firm hired Christopher Corapi from Federated Investors Inc., Pittsburgh, as head of equity research.

    ING's quants use proprietary optimization models to narrow down names of stocks on a sector-by-sector basis, and then the fundamental analysts examine those names to decide whether to invest in them, said Mr. Nelson.

    Victory recently hired Northfield Information Services Inc., a financial software developer in Boston, to assist in risk management and portfolio optimization. "We've always had a strong focus on risk management, we're just installing some extra precautions," said David Brown, senior managing director at Victory.

    In August, NYLIM hired Tony Elavia from Putnam Investments as chief investment officer for quantitative platforms. Mr. Elavia was asked to build a quantitative platform for all of NYLIM's asset management subsidiaries except Mackay Shields LLC, New York, which operates independently. In January, the firm also hired Ludger Hentschel, a professor of finance at the University of Rochester in New York, as a vice president of research to help develop multifactor models.

    Client demand

    "We absolutely, positively do see managers moving toward quantitative strategies, such as enhanced index and structured products," said Greg Moore, director of manager research at investment consultant Segal Advisors Inc., New York. "We're seeing managers that most people think of as being traditionally active quietly moving to quantitative management."

    Mr. Moore said client demand, as well as a desire to reduce business risk by money managers, is driving this trend. "Clients are demanding (quantitative management) to some extent. Consultants are demanding it. It's only natural because we're coming out of the years that the bubble popped, and a lot of people realized that they could not stomach the roller-coaster ride in terms of the performance of traditionally active managers. A lot of active managers have had very volatile alphas, and clients are asking if they have something with a little more risk control.

    "The other point is that one of the big reasons all these investment managers are doing this is business risk. A lot of these folks saw their total assets under management swing wildly. It's sort of a marriage between what they want to offer and what clients and consultants want to see."

    Recommended for You
    Read the print edition of P&I
    Read the print edition of P&I
    How low is low? Projections say it's not low enough
    How low is low? Projections say it's not low enough
    Citadel's Ken Griffin gives $125 million to Chicago museum; name will change
    Citadel's Ken Griffin gives $125 million to Chicago museum; name will change
    The Institutional Investor's Guide to ESG Investing
    Sponsored Content: The Institutional Investor's Guide to ESG Investing

    Reader Poll

    January 25, 2023
    SEE MORE POLLS >
    Sponsored
    White Papers
    Show Me the Income: Discovering plan sponsor and participant preferences for cr…
    The Future of Infrastructure: Building a Better Tomorrow
    Outlook 2023: Opportunity in a volatile world
    Research for Institutional Money Management
    View More
    Sponsored Content
    Partner Content
    The Industrialization of ESG Investment
    For institutional investors, ETFs can make meeting liquidity needs easier
    Gold: the most effective commodity investment
    2021 Investment Outlook | Investing Beyond the Pandemic: A Reset for Portfolios
    Ten ways retirement plan professionals add value to plan sponsors
    Gold: an efficient hedge
    View More
    E-MAIL NEWSLETTERS

    Sign up and get the best of News delivered straight to your email inbox, free of charge. Choose your news – we will deliver.

    Subscribe Today
    December 12, 2022 page one

    Get access to the news, research and analysis of events affecting the retirement and institutional money management businesses from a worldwide network of reporters and editors.

    Subscribe
    Connect With Us
    • RSS
    • Twitter
    • Facebook
    • LinkedIn

    Our Mission

    To consistently deliver news, research and analysis to the executives who manage the flow of funds in the institutional investment market.

    About Us

    Main Office
    685 Third Avenue
    Tenth Floor
    New York, NY 10017-4036

    Chicago Office
    130 E. Randolph St.
    Suite 3200
    Chicago, IL 60601

    Contact Us

    Careers at Crain

    About Pensions & Investments

     

    Advertising
    • Media Kit
    • P&I Content Solutions
    • P&I Careers | Post a Job
    • Reprints & Permissions
    Resources
    • Subscribe
    • Newsletters
    • FAQ
    • P&I Research Center
    • Site map
    • Staff Directory
    Legal
    • Privacy Policy
    • Terms and Conditions
    • Privacy Request
    Pensions & Investments
    Copyright © 1996-2023. Crain Communications, Inc. All Rights Reserved.
    • Topics
      • Alternatives
      • Consultants
      • Coronavirus
      • Courts
      • Defined Contribution
      • ESG
      • ETFs
      • Face to Face
      • Hedge Funds
      • Industry Voices
      • Investing
      • Money Management
      • Opinion
      • Partner Content
      • Pension Funds
      • Private Equity
      • Real Estate
      • Russia-Ukraine War
      • SECURE 2.0
      • Special Reports
      • White Papers
    • Rankings & Awards
      • 1,000 Largest Retirement Plans
      • Top-Performing Managers
      • Largest Money Managers
      • DC Money Managers
      • DC Record Keepers
      • Largest Hedge Fund Managers
      • World's Largest Retirement Funds
      • Best Places to Work in Money Management
      • Excellence & Innovation Awards
      • WPS Innovation Awards
      • Eddy Awards
    • ETFs
      • Latest ETF News
      • Fund Screener
      • Education Center
      • Equities
      • Fixed Income
      • Commodities
      • Actively Managed
      • Alternatives
      • ESG Rated
    • ESG
      • Latest ESG News
      • The Institutional Investor’s Guide to ESG Investing
      • ESG Sustainability - Gaining Momentum
      • Climate Change: The Inescapable Opportunity
      • Impact Investing
      • 2022 ESG Investing Conference
      • ESG Rated ETFs
    • Defined Contribution
      • Latest DC News
      • DC Money Manager Rankings
      • DC Record Keeper Rankings
      • Innovations in DC
      • Trends in DC: Focus on Retirement Income
      • 2022 Defined Contribution East Conference
      • 2022 DC Investment Lineup Conference
    • Searches & Hires
      • Latest Searches & Hires News
      • Searches & Hires Database
      • RFPs
    • Performance Data
      • P&I Research Center
      • Earnings Tracker
      • Endowment Returns Tracker
      • Corporate Pension Contribution Tracker
      • Pension Fund Returns Tracker
      • Pension Risk Transfer Database
      • Future of Investments Research Series
      • Charts & Infographics
      • Polls
    • Careers
    • Events
      • View All Conferences
      • View All Webinars
      • 2023 Defined Contribution East
      • 2023 ESG Investing