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.
Quant funds look to AI to master correlations
Machine learning shows promise in grouping assets better, predicting regime shifts
Intercept: AQR’s risk-catching machine
CRO Mike Patchen has helped build a system to identify risks before they grow or spread
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
Replication can illuminate private equity’s nascent risks
New benchmarks paint a less flattering picture of buyout funds
Quants clone private equity: pale imitation or real deal?
Theory says replication can work, but investors are reluctant to give up private equity’s smoothed returns
Credit Suisse uses neural nets to call minute-ahead forex
Bank encases AI in ‘control framework’ to curb risk and will stick to micro timeframe for now
Tech mergers have increased crowding risks, investors say
Risk USA: Consolidation among vendors means “everyone’s looking at the exact same model”
BlackRock, State Street, AB are making AI work in risk
Risk USA: Fund managers are using new technology to measure liquidity risk and spot their own errors
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
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”
Machines can save 20% on routing orders, UBS says
Machine learning is navigating the labyrinth of venues, figuring out how best to land the trade
Mirror-image factors are wiping out quant alpha
Equity momentum and value strategies are cancelling each other out, buy-siders say
Machine learning study identifies eight risk factors in private equity
Allocators may be unwittingly concentrating their bets in private equity funds, research suggests
Allianz Global Investors adopts NLP signals in equities
Move to tackle unstructured data starts with sell-side analyst reports
Neuberger sidesteps option gap risk using AI and credit card data
Random-forest algorithm run on retail transaction data forewarns of earning shocks
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants
QMA’s Dyson: AI a ‘wonderful marketing concept’
Quant firm sceptical about using artificial intelligence to seek out tradable strategies
GAM Systematic’s Ewan Kirk is sticking to his guns
Have markets changed? “They always do,” says quant fund CIO
AllianceBernstein uses AI to sidestep ‘growth trap’
Random forest model aims to sort success stories like Amazon and Netflix from fast-growth losers