Articles by Rob Mannix
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Quants pitch strategies for when bonds no longer work
Investors are flocking to alternative diversifiers of equity risk
Quants say they can fix value’s broken ratio
Price-to-book metric can be tailored to the new economy, researchers believe
The hidden effects of stress on risk takers
Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Quants find new ways to identify inventive companies
Novel uses of patent and other data could help tell trailblazers from phonies
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Why value’s vaccine rally left investors disappointed
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
Quants worry inflation risks could sink stocks
Research from ex-BoE official Sushil Wadhwani shows stocks may struggle when inflation is high
Aaron Brown: to learn how to handle a crisis, create one
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Back to school: BlackRock uses quant quake lessons on Covid
Pandemic prompts a switch in approach from strategic to tactical
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
Quants try to explain why value works better in credit
Equity value may be in the doldrums, but the strategy works in credit – investors think they know why
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead
Quant investors turn to raw data over ratings in ESG alpha hunt
Firms are using data on product returns and employee welfare to pick winners
Applying the scientific method to investing
The new field of experimental finance goes beyond backtesting
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
The scientists probing the human mind for an investing edge
Recent advances in behavioural finance could give rise to new quant models and strategies
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale