Articles by Rob Mannix
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
Honesty is key to machine learning’s future – Roberts
Oxford-Man Institute director on why tomorrow’s models will gracefully admit defeat
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
Banks bet on data to rescue research
Barclays, Morgan Stanley, UBS among those using data science to pep up their research offerings
Learning algos that learn how to learn
Knowing what to remember and what to forget could help machines beat quant and discretionary investors
Risk premia strategies do not reward downside
Study says alt premia approaches do not compensate for exposure to rough markets; hints at data mining