Asset management
Lo’s ‘dynamic alpha’ gives quants new tool to fine-tune strategies
Time-sensitive measure could help manage systemic risk too
A fool’s gold (or data) mine
Quants are building statistical toolkits to avoid the pitfalls of data mining
Denmark’s ATP warns of inflation threat to risk parity
Pension fund cuts risk to guard against correlation switchback
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
Best execution in Asia faces data deficit
Lack of trade information undermines Mifid-style shake-up of investment activities
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Data riches pose new test for risk managers
New quant tools must be balanced with old-fashioned intuition
MSCI proposes ‘fairer’ alternative to swing pricing
Exiting investors should only pay the cost of net redemptions, says Acerbi
Quant manager spurns vendors’ machine learning software
Ex-head of algo trading at JP Morgan says machine learning processes should be built internally
Brexit dims hopes for Solvency II change in UK
Lawyers say political tensions may have killed off chance of reform, following PRA U-turn
Machine learning study points way to smarter beta
‘Boosted trees’ method uses same metrics as conventional factor investing but mixes them in new ways
JP Morgan data scientist on mining and machine learning
Asset management arm looks to trawl internal data for investment edge
Buy side frets over fallbacks in ‘zombie Libor’ scenario
Firms say any future plunge in number of Libor contributors should trigger switch to fallback rate
Sustainable investing boom lifts demand for new data
One trendy investment approach reinforces another
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Planned sale prompts hard look at post-trade firms
Plans to sell MarkitServ fuel warnings about middleware vendors’ future
Risk-return dominance of US ‘big five’ a myth, data shows
US stock markets less exposed to a ‘Gafam factor’ than assumed, says La Française Investment Solutions
Buy side using compression tools to create, not destroy
Custom-trading services are booming at Bloomberg and Tradeweb, but not for the reasons intended
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Goldman building team to sell its own alternative data
New group tasked with finding data within the securities division that could be sold to clients
Factor models found to miss time variations in trading day
Large-cap momentum picks up after open, before close
ETFs may shift oil price but not stockpiles
Inelastic oil market moved easily by speculation, finds macroeconomist