Quant investing
Don’t invest in bad ESG companies, hedge funds told
Managers have seen a “sea change” in attitudes to sustainability
Ripping up the old asset class labels
Outmoded classifications of securities may be concealing market risk. AI has a better idea
Neuberger Berman gets its Sherlock on
Asset manager deploys quant-cum-sleuth to sniff out portfolio risk
Quants – pick your alt data wisely, says Goldman MD
Investors must balance risk of false signals versus missing out on alpha, says Matthew Rothman
Ex-Credit Suisse quants embrace machine learning
Founders of XAI Asset Management grapple with unsupervised learning and the problems of explainability
Allocation models that know their unknowns
Quants say probabilistic programming beats machine learning in balancing strategies
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
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