Articles by Rob Mannix
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
Bridgewater co-CIO on risk parity, correlations and contagion
All Weather fund's approach remains poorly understood, says Prince
Risktech start-ups, market making and poor Mifid II data
The week on Risk.net, August 4–10
Winton’s David Harding on turning away from trend following
Founder explains decision to scale back weighting of strategy that made firm’s name
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Lo’s ‘dynamic alpha’ gives quants new tool to fine-tune strategies
Time-sensitive measure could help manage systemic risk too
Denmark’s ATP warns of inflation threat to risk parity
Pension fund cuts risk to guard against correlation switchback
Machine learning study points way to smarter beta
‘Boosted trees’ method uses same metrics as conventional factor investing but mixes them in new ways
Sustainable investing boom lifts demand for new data
One trendy investment approach reinforces another
Trade data initiatives aim to unify regulatory reporting
Standardised data would improve systemic risk monitoring and save firms billions, say data engineers
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Study warns against ignoring factors’ procyclicality
Common multi-factor strategies have hidden macroeconomic exposures, research shows
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
QE unwind won’t spur volatility, say quants
Bond-buying schemes have “almost zero” link to volatility of stocks, says Wolfe Research
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Making the alternative a reality
Quant firms will have to adapt to prosper in the new datasets environment
Quant funds look past the obvious for uses of alternative data
Many systematic investors are sceptical but a few are finding ways to make new data work