BOSTON Acadian Asset Management Inc. hired Jackson Loomis from Pyramis Global Advisors to develop a new quantitative U.S. equity strategy that builds on the insights fundamental analysts bring to bear in evaluating stocks.
The strategy, which should be ready by the end of the summer, will help Acadian continue to grow by providing an alternative way to generate alpha that doesnt overlap with what were doing currently, said John Chisholm, Acadians chief investment officer.
Acadians current multifactor linear quant model, mainly focused on international and global equity strategies, has faced growing capacity constraints as the firms assets under management surged to just less than $70 billion at the end of May from $32 billion at the start of 2006. Acadian has closed a number of funds to new money and limited inflows to others.
Mr. Loomis, a nine-year Fidelity-Pyramis veteran, had been part of a quantitative support group for the companys fundamental analysts that evolved into a separate portfolio management team. In an interview, Mr. Loomis said the quantitative strategy hes developing at Acadian will apply similar ways of evaluating stocks as fundamental analysts do, but unlike fundamental analysts be able to apply those unemotionally and systematically across a broad universe of stocks.
Mr. Loomis, who had the title of co-manager, quantitative analyst, at Pyramis, will be senior vice president, portfolio manager and researcher at Acadian.
Unlike Acadians linear model, which statistically determines weights for various factors with predictive ability for a stock, the new step-by-step algorithmic approach examines a number of investment theses and spits out a buy, sell or hold decision for each one, Mr. Loomis said. Acadians statistical infrastructure, focus on behavioral finance and new ideas Mr. Loomis is looking to pursue should quickly allow Acadians strategy to diverge dramatically from the one offered by Pyramis, he said.
Acadian executives said the new U.S. strategy could be followed by others, such as a global strategy. The U.S. quant strategy is Acadians second new product initiative of the past few months, following its announcement of an emerging markets debt strategy in April (Pensions & Investments, April 16). Acadian executives said their algorithmic strategy should be seen as part of the companys drive to continue providing clients with new sources of uncorrelated alpha.
To the extent that being different from every one else in the investment world is an advantage, this will be an advantage, said Mr. Chisholm.