Articles by Rob Mannix
Crowding can be good for quants (sometimes) – Goldman
Study finds timing dictates different results for convergent and divergent strategies in herd moves
Privacy risks dash funds’ alternative data dreams
Asset managers see value in alternative data in its rawer forms, but most won’t touch it
Robo traders not so different from us, says Man AHL risk chief
Watching over machine learning algorithms is similar to monitoring human portfolio managers
Banks concoct fixed income alternative premia 2.0
Fixed income was a rare winner in a terrible 2018 for alternative risk premia. More complex iterations are on the way
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Irrational exuberance? One gauge gives BlackRock pause
One measure of investor euphoria is registering its most extreme readings since the 2000 tech crash
BlackRock’s psych team (yes) hunts for bias in trades
Portfolio managers asked to keep ‘trade diaries’ of the thinking that led up to poor investments
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Honesty is key to machine learning’s future – Roberts
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Value factor strategies ripe for revival, quants say
Stocks rated for value are historically cheap compared with growth stocks, evidence shows
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Factor funds ‘do right things for wrong reasons’ – Intech
Firm says conventional investing wisdom is missing out on alpha
Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design
From AI to cheese: funds seek fixes for trend following
Firms turn to machine learning, hybrid products and new markets to boost returns