During periods of sustained price rises in equities, we see tremendous market interest in measuring the "frothiness" of prices, both for the market overall as well as for individual sectors and countries. Robin Greenwood, George Gund Professor of Finance and Banking at Harvard Business School and academic partner…

Picking investable assets for a portfolio can be hard. Fundamental analysis focuses on what investors believe will happen in the future. Quantitative investing, by contrast, focuses on the facts: how historical data relationships may give us insight into future market moves, helping us to systematically select assets on the…

Marija Veitmane and Yimou Andrew Li discuss the rules of fundamental and proprietary equity indicators.

Mark Rosenberg provides a data-driven political risk assessment using the GeoQuant platform.

Michael Metcalfe and Nitin Gaur reflect on lessons learned from the volatile crypto market.

In the current environment of rising inflation, interest rates, and geopolitical uncertainty iShares relaunched two ETFs in its factor suite (LRGF and INTF), using a multifactor strategy from index provider Qontigo.

Asset managers have struggled to apply machine learning to generate trading signals successfully. Instead, applying machine learning to determine the probability of profit of existing trading signals is very fruitful - this is Corrective AI. Taking this one step further, we developed Conditional Portfolio Optimization, a…

Professor Robert C. Merton is the Distinguished Professor of Finance at The Massachusetts Institute of Technology (MIT) Sloan School of Management and Professor Emeritus at Harvard University. He has a Ph.D. in Economics from MIT and is currently the Resident Scientist at Dimensional Fund Advisors. Professor Merton was…

In a wide-ranging presentation, Two Sigma’s Justin Sirignano—who is also an Associate Professor in Mathematics at the University of Oxford—discusses opportunities and open challenges for machine learning in finance. Justin introduces examples of machine learning models for high-frequency data, and covers topics including…

In this episode, Patrick Ceresna and Kevin Muir welcome Rob Arnott to the show to discuss value versus growth stocks, the yield curve and whether it’s predicting or causes recessions, and why Rob thinks inflation will stay persistently high.

MacroVoices Erik Townsend and Patrick Ceresna welcome Nomura quant, Charlie McElligott to the show. Charlie shares whether there’s another shoe to drop for this equity market, and if so, when it’s coming. They also discuss rates and the gamma effects playing out.

It has been hailed as the next frontier in quant investing. Using artificial intelligence, algorithms and vast volumes of new data types to explore untapped sources of returns sounds intriguing. Especially when times are uncertain, and alpha is elusive. But is this hype, false hope or real opportunity?

At the 2022 Greenwich Economic Forum-Miami, Black Swan author, Nassim Nicholas Taleb explains why correlation is unreliable at a due diligence tool. Coming as it does during on ongoing pandemic and in the middle of Vladimir Putin's invasion of Ukraine, Taleb also discusses wars and pandemics and puts them into their…

Leda Braga has earned the nickname “the queen of quants”. After a PhD in engineering from Imperial College London, she spent seven years at JPMorgan as a quant the bank’s derivatives research team. After a stint at a start-up spun out of JPMorgan, the Brazil-born Leda then helped establish one of the industry’s leading…

It’s hard to unify the often disparate findings of stock momentum and reversal effects documented in literature. Many distinct sources of momentum and reversal coexist, short-term reversal has intensified post-2010 and winning sectors tend to crash more than winning factors. Marija Veitmane, Senior Macro Strategist for EMEA…

Momentum was a factor that many academics were very reluctant to embrace. On this podcast, Sheridan Titman Professor of Finance at the University of Texas, helped to change that with his 1993 paper 'Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency' that he co-wrote with Narasimhan…

Cryptocurrencies have attracted widespread interest among private investors and even some hedge funds as a vehicle for speculation. But what’s their role in a portfolio – growth engine or diversifier? State Street explores the potential role of bitcoin in multi-asset portfolios based on their track record for diversifying…

We’ve reached a moment at which large language models like ChatGPT have clearly become useful, but for what exactly? Anton Korinek has discovered at least 25 ways in which economics researchers can use them today. He explains to Tim Phillips about how they are already making our research more efficient.

While there are many ways to diversify portfolios using traditional strategies, consider the merits of a disciplined, quantitative investing approach to pursue potential sources of attractive returns in 2023.

There were few places for investors to hide in 2022, as weakness spread across all asset classes. Factor investing strategies, by contrast, provided some refuge: their resilience in down-trending markets confirmed their comeback. So, it’s a good time now to take stock of what’s going on in the world of quant and factor…