Articles by Rob Mannix
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
‘Huge role’ for quants in Covid-19 response – MIT’s Lo
Policy-maker actions or missteps will drive markets, academic says
Alt data lends a different light to coronavirus impact
Smog, traffic data – even movie rentals – help analysts track economic effects of virus
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Fuzzy data stalls ESG alpha hunt
Quants searching for ESG signals have reached very different conclusions. Mostly they blame the data
The age of ethical investing, but can quants cope?
Systematic managers grapple with ESG demands of clients
Study finds ‘significant’ crowding in hedge funds
New research links herd investing to bigger drawdowns in stressed markets
Wells Fargo uses machine learning for performance attribution
Clustering algo delivers speedier and more accurate explanations of portfolio returns
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Private equity investors see savings in AI
Unigestion, Schroders using machine learning to avoid ‘obvious losers’ among private equity firms
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
Replication can illuminate private equity’s nascent risks
New benchmarks paint a less flattering picture of buyout funds
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
Research Affiliates expects 16% return from value repricing
New study shows “the engine for value performance is not broken”
Mirror-image factors are wiping out quant alpha
Equity momentum and value strategies are cancelling each other out, buy-siders say
Machine learning study identifies eight risk factors in private equity
Allocators may be unwittingly concentrating their bets in private equity funds, research suggests
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants