The idea of quantitative investing – using robust computing power and algorithms to trade securities – inspires both awe and fear. Reality is less exciting. With a tiny handful of exceptions, most quant funds have been unimpressive. I explore some limits of quantitative investment, with a focus on the promise – or lack thereof – of techniques from deep learning and artificial intelligence. These limitations help explain the disappointing performance of many quant strategies and cast doubt on the promise of artificial intelligence techniques for improving returns. The main problem is that financial market data is unlike the data that machine learning works well on computer vision, speech recognition, and natural language processing. While deep learning and artificial intelligence are changing the world in many ways, they are unlikely to generate fortunes for investors, who will continue to remain best-served by inexpensive and passive index products that themselves will be augmented by machine learning techniques to drive costs even lower.