Articles by Rob Mannix
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
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