Artificial intelligence has recently experienced increasing attention, following staggering achievements in applications such as self-driving cars. This article shows how the adaptivity and self-learning capability of machine learning tools may add value for asset managers. However, the inherently flexible nature of machine learning methods is also their biggest challenge. It requires that the methods are put in the right context and thoughtfully applied. We are convinced that machine learning will most likely turn out not to be the much-searched Holy Grail, but that it will help quantitative investment managers in further improving their allocation processes.