At the heart of our offer... Quantitative equity management

Cyrille Collet has been managing quantitative equities for more than thirty years and has headed Quantitative Equity Management at CPRAM since 2005. He leads a seasoned team of six portfolio managers running strategies across all geographic regions. Built on an in-house model, this expertise combines rigorous modeling, disciplined execution and the ability to adapt to changing market conditions. In this interview, he explains what sets the approach apart, the role of human judgment, how ESG considerations are integrated and how this style of management meets investors’ needs.

CPRAM’s quantitative equity management relies on a systematic investment process, driven by mathematical and statistical models that analyze markets, identify investment opportunities and support decision-making. Unlike traditional fundamental management, which focuses on a limited number of companies, our approach covers a global universe of more than 8,000 listed stocks. The challenge is not only to cover such a broad universe, but also to assess every stock daily using financial, accounting, market and consensus data, and then to combine this information to build our factors and multifactor models.

Rather than relying on a handful of isolated convictions to create value, we aim to detect market opportunities consistently and exploit them with method and discipline. This allows us to invest across all geographic regions and adapt to a wide range of investment universes, whatever the constraints, whether financial or extra-financial.

Quantitative management therefore complements both active fundamental management and passive management. It can serve different investment objectives, whether relative or absolute performance, within a clear, reproducible and controlled methodological framework.

A key feature of our quantitative management is our proprietary in-house model, the result of close collaboration between the portfolio management and research teams, refined over nearly twenty-five years. Our investment philosophy rests on the conviction that certain financial factors explain equity market performance over the long term, but that their effectiveness varies across market cycles.

Our model therefore starts by identifying the market regime, which we classify as either stressed or non-stressed. To do so, we analyze trends in equity and credit markets, looking at historical equity prices, credit spreads and statistically defined volatility regimes. This reading of the market allows us to adapt the portfolio to the prevailing environment.

Depending on the regime identified, we automatically apply the appropriate combination of factors. In a non-stressed environment, the model takes a more offensive stance, seeking to benefit from market inefficiencies linked in particular to valuation or earnings growth. In a stressed environment, the approach turns more defensive, focusing on less volatile companies with stronger balance sheets to help limit drawdowns. 

This process is based on clear, understandable and auditable rules. The model portfolios are tested over different periods and across all global markets, each of which has its own specific characteristics. In this respect, the robustness of the model is a central element of our approach.

Human judgment plays a central role in our framework. While the investment process itself is systematic, its design, development and oversight rely on the work of the portfolio management team. The definition of market regimes and the assessment of each stock’s potential are therefore reviewed on a regular basis. For example, in 2024 our approach was enhanced by the addition of a more responsive daily statistical signal to detect market regimes.

Innovation is also integral to the way we manage portfolios. The rise of artificial intelligence is reshaping the information environment, and we gradually capture its effects through market expectations and analyst estimates incorporated into consensus forecasts. In this way, it can indirectly influence our expected return calculations for the securities in our investment universe, alongside other major macroeconomic drivers.

ESG considerations can also be fully integrated into a quantitative approach, provided that robust data and a rigorous methodology are available. We draw on Amundi’s responsible investment expertise and on a proprietary scoring methodology combining quantitative and qualitative dimensions.

In practice, ESG integration can take place at two levels: at the security level, through normative, sector-based or issuer-specific exclusions targeting the lowest-rated issuers; and at the portfolio level, through improvement targets that depend on the strategy, whether in terms of ESG score, biodiversity or carbon intensity. Mandates can also take other extra-financial constraints into account, including ethical or Sharia-related requirements.

In a demanding market environment, investors are looking for robust, transparent solutions with risk control. Quantitative management meets these expectations by bringing a high degree of objectivity to investment decisions, a clear methodology and a highly reproducible process. It also enables us to offer cost-efficient strategies tailored to a wide range of objectives and, at times, very specific investment constraints.

The approach is also a relevant diversification tool within an overall asset allocation, complementing both discretionary and passive management. It can address a wide range of requirements, whether in terms of tracking error, volatility, turnover, liquidity, geographic investment universe or the integration of ESG, SRI, biodiversity, ethical or Sharia criteria.

Our ability to meet these needs rests on several lasting strengths: a stable, experienced team, most of whom have worked together for more than twenty years; dual expertise in research and portfolio management; proprietary tools developed in-house; and the backing of Amundi’s resources, particularly for ESG data and operational support.

Today, this expertise is reflected in the management of a range of open-ended funds as well as more than 25 dedicated mandates and funds, illustrating our ability to meet a wide variety of needs, especially those of institutional investors in France and abroad. At end-September, assets under management within this area of expertise exceeded EUR 22 billion.