Quant investing
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Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
New investor solutions for inflationary markets
Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Adia hires three to join its growing supergroup of quants
Alexandre Antonov, Adil Reghai and Andrey Itkin join unit at world’s third-largest wealth fund
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures
Surging Vix would turbocharge Blackstone Credit strategy
Unique high-yield systematic strategy has outperformed equivalent ETF by 18% over five years
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Inconsistent ESG scores force USS to make its own decisions
Pension fund needs ESG alternatives to bonds to help close its funding deficit
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
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
The scientists probing the human mind for an investing edge
Recent advances in behavioural finance could give rise to new quant models and strategies
Firms hone use of new data to pick Covid-19’s winners
Investment managers are starting to use alternative data to assess the pandemic’s effect on individual stocks
Quants puzzle over how to handle negative oil prices
Firms are choosing to cut ‘outlier’ prices from data or to rely more on fundamental inputs
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
Fuzzy data stalls ESG alpha hunt
Quants searching for ESG signals have reached very different conclusions. Mostly they blame the data
The age of ethical investing, but can quants cope?
Systematic managers grapple with ESG demands of clients