Articles by Rob Mannix
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
The rise of the robot quant
The latest big idea in machine learning is to automate the drudge work in model-building for quants
GAM Systematic’s Ewan Kirk is sticking to his guns
Have markets changed? “They always do,” says quant fund CIO
AQR takes step into exotic trend following
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Aspect Capital’s just-in-time metamorphosis
Martin Lueck on the trend follower’s launch of new strategies that cushioned last year’s blows
Goldman and SG on alternative data: do believe the hype
Risk Live: New data will “completely transform the landscape” of investing, says SG's Albert Loo
How Amazon and Netflix disrupted value investing
New business models have upset a common metric in the quant strategy
Fund builds virtual analyst to do ‘grunt work’
Equities unit at Principal Global Investors wants its analysts analysing, not rooting through email and research reports
No alpha in hedge funds’ average short positions – research
A strategy betting against low conviction shorts beat a benchmark model by 6% in back tests
From memos to texts, algos fish for signals in-house
Hedge funds turn to natural language tools to pry more value out of their analysts’ internal writings
How does it look from space? Satellite surge to alter investing
Higher-frequency images set for use in entirely new ways and by more investors than before
Cantab finds ‘value-add’ in alternative datasets
Quant firm estimates how much alpha new data can add before putting it to use
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Crowding can be good for quants (sometimes) – Goldman
Study finds timing dictates different results for convergent and divergent strategies in herd moves
Privacy risks dash funds’ alternative data dreams
Asset managers see value in alternative data in its rawer forms, but most won’t touch it
Robo traders not so different from us, says Man AHL risk chief
Watching over machine learning algorithms is similar to monitoring human portfolio managers
Banks concoct fixed income alternative premia 2.0
Fixed income was a rare winner in a terrible 2018 for alternative risk premia. More complex iterations are on the way
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Irrational exuberance? One gauge gives BlackRock pause
One measure of investor euphoria is registering its most extreme readings since the 2000 tech crash
BlackRock’s psych team (yes) hunts for bias in trades
Portfolio managers asked to keep ‘trade diaries’ of the thinking that led up to poor investments
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say