We examine quantitative investors’ ability to navigate a common and occasionally material change to the financial data generating process: new accounting standards. Returns of quantitative mutual funds temporarily decrease relative to funds that rely more heavily on human discretion following the implementation of a few standards that significantly change key financial statement variables; however, other standards do not appear to have a differential effect. Our result is stronger for quantitative funds using more accounting terminology in their prospectuses and using value strategies, which leverage accounting signals. Excess portfolio turnover following the implementation of accounting standards appears to be a driving factor of the quant underperformance. Additional evidence connects the fund-level results to the specific stocks that were affected by the accounting standards. Overall, our results suggest quant funds are generally proficient at adapting to accounting changes, although material changes occasionally put them at a temporary disadvantage relative to discretionary investors.

中文翻译：

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新会计准则与量化投资者的绩效


我们研究了量化投资者应对财务数据生成过程中常见且偶尔发生重大变化的能力：新会计准则。在实施一些显着改变关键财务报表变量的标准后，相对于更多依赖于人为判断力的基金，量化共同基金的回报暂时下降；然而，其他标准似乎并没有产生不同的效果。对于在招股说明书中使用更多会计术语并使用利用会计信号的价值策略的量化基金来说，我们的结果更为强劲。实施会计准则后投资组合周转率过高似乎是量化投资表现不佳的一个驱动因素。其他证据将基金层面的结果与受会计准则影响的特定股票联系起来。总体而言，我们的结果表明，量化基金通常能够熟练地适应会计变化，尽管重大变化有时会使它们相对于全权投资者暂时处于劣势。