Risk.net
Latest on Investing
Value: ‘Trade of the decade,’ says QMA
Quant firm predicts big revival for out-of-favour strategy
Research Affiliates expects 16% return from value repricing
New study shows “the engine for value performance is not broken”
Poor data hurting buy side’s automated bond trading
Spotty bond liquidity creates gaps in trading data that could harm best execution, insiders warn
Latest
Quotes
All we’ve done is coded everything a human trader would ever do
Stephen Cavoli, Virtu Financial
Traders need to realise automation requires a continuous effort where they monitor, evaluate and optimise the behaviour of the machine
Ravi Sawhney, Bloomberg
Momentum stocks have become the opposite of value. It’s binary
Luc Dumontier, LFIS
Editor's Choice
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
Big Figure
Factoring in
Is the value factor broken? Not according to QMA, the $123.2 billion quant arm of PGIM. New research from the firm suggests that macroeconomics, rather than fundamentals, explain the factor’s dire performance for the past 18 months. “What we’ve seen for value stocks is that their recent underperformance has been driven by multiple market losses. It hasn’t been driven by weakening fundamentals,” which would indicate a value trap, says Gavin Smith, portfolio manager at QMA.
Read the full article
Comment
Swaps data: analysing the US rates collapse
How collateral scarcity reshaped the US yield curve
Our Take
The machines are coming for your pricing models
Can robots learn to manage risk?