Quant investing
Investing is often seen as a blend of art and science, but the past decade has seen rapid growth in strategies that try to exclude the former entirely, instead seeking sources of return that are a provable feature of a market. These scientific investors are generally poorly served by mainstream finance publications.
Our aim is to cover, in plain English, the ideas and trends that matter. That means articles on research – into new sources of premia and shifting market behaviours, for example – as well as products and strategy. We also report on the related topics of data science, and trends in the use of artificial intelligence and machine learning.
Technical content can be found in our ‘Cutting Edge’ section, where we publish practitioner-focused, peer-reviewed papers.
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
Amundi puts a Darwinian spin on bond portfolio rebalancing
‘Genetic’ algorithm picks bonds to buy or sell from quadrillions of possible combinations
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
As machines disrupt investing, people still have a role to play
Despite AI’s growth, investing still needs human adaptability and judgement, writes Schroders’ Lim
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
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
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
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Why value’s vaccine rally left investors disappointed
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
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
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
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
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
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others