Articles by Rob Mannix
BlackRock on how modern portfolio theory is misunderstood
Standard asset allocation is likely sub-optimal in a changing world, say strategists
BlackRock preps managed futures ETF
Asset manager’s plans could open strategy to $400 billion-plus new asset pool
Neil Chriss sets out to codify the game theory of trading
The co-author of the benchmark Almgren-Chriss model has updated his thinking on market impact
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Rob Arnott finds a ‘sweet spot’ for public spending
Veteran buy-sider sees an investing case for small government
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Victor Haghani’s maths proof that stock-pickers will hate
‘Risk matters hypothesis’ extends Bogle’s case for passive investing
How ‘re-correlation’ risk could cause a pod-shop unwind
Some think an underappreciated vulnerability might one day lead to a 2008-type crisis
The signs of tacit collusion in the dividend play trade
Game theory and real-world data point to a different understanding of how arbitrage in markets works
Quants are using language models to map what causes what
GPT-4 does a surprisingly good job of separating causation from correlation
The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
Professional investors behind ‘witching day’ options spike
Study says retail investors are the losers from anomaly that costs more than $3.8 billion
Climate refugees, zero-day options and the wrong long
A look at the investment risks that just missed our annual list
AI model uses quantum maths to learn like a human
Could the next big breakthrough in machine learning come from the world of finance?
Be careful what you’re paid for
Pinning down the illiquidity premium in private credit is no easy task
Quants look to language models to predict market impact
Oxford-Man Institute says LLM-type engine that ‘reads’ order-book messages could help improve execution
Why agency mortgages could stay cheap for a while
Big bond managers are snapping up agency bonds, but disrupted valuations could last a surprisingly long time
‘Witching day’ price spikes point to options market manipulation – study
Data reveals patterns that can be explained no other way, researchers say
Diversification is even better than a free lunch – study
Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise