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Macro Sectors: Quantitative Research
After three straight years at No. 2, Inigo Fraser-Jenkins guides his nine-strong Nomura team to the winner’s circle for the first time.
Inigo Fraser-Jenkins & team Nomura
second teamMarco Dion & team J.P. Morgan
third teamGurvinder Brar & team Macquarie
After three straight years at No. 2, Inigo Fraser-Jenkins guides his nine-strong Nomura team to the winner’s circle for the first time. “The outstanding feature of Inigo’s work is his ability to step back while maintaining a practical orientation,” observes one loyalist. Backers were impressed with August’s “How-To Guide to Quant Models,” described by one portfolio manager as a “particularly useful big-picture publication, especially for an investor who needs to fix a quant model that hasn’t been working or wants to select among competing models.” Fraser-Jenkins, 35, earned a master’s degree in finance from Imperial College London’s Management School in 1998 and worked as a financial stability researcher at the Bank of England before joining Lehman Brothers in 1999. After losing one researcher to cutbacks, the now two-member J.P. Morgan crew under Marco Dion slips to the second tier. Nevertheless, clients praise the analysts’ “transparent approach — sharing not only their models’ results but their processes and raw data,” as one money manager puts it. Investors say they appreciate the team’s dynamic factor model, which allows them to choose which economic variables to plug in to calculations at various times, especially useful during recent volatility. “They mix intellectual robustness with a highly practical nature,” cheers one buy-side backer. Debuting in third place is the Macquarie Equities quartet conducted by Gurvinder Brar. “They’re not scared to delve into complex topics in search of market inefficiencies that can be exploited,” explains one loyalist. In December 2008 the team’s analysis prompted them to make a startling — but accurate — prediction: European equities would bottom out in the first quarter, then begin to rally. The MSCI Europe hit bottom in early March and by December was up nearly 58 percent.
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