Quant insight series

Quant Insight Series

Expert opinions and discussions you want to hear

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ESG
Factors
Machine Learning
Macro
Market Structure
Portfolio Construction
Investor Behaviour

ESG

Corporate Governance in China with Professor Kenneth Kim and Fuxiu Jiang

Please join Professor Kenneth Kim and Professor Fuxiu Jiang as they survey corporate governance in China. This talk provides a modern overview of corporate governance in China and highlights features and issues that are, for the most part, unique to China.

Enhancing traditional equity style factors with Machine Learning

Climate as a systemic risk: implications for regulators and industries with Veena Ramani

The climate crisis poses a systemic threat to financial markets and the real economy, with significant disruptive consequences on asset valuations and economic stability. Watch the replay with Veena Ramani, the Senior Program Director, Capital Market Systems at Ceres, as she discusses the implications for markets, regulators, across industries and indeed for fiduciaries and asset managers.

Global supply chain exposure and vulnerability to increasing climate extremes with Dr. Sandor Boyson

Carbon transition risk with Mark Carhart

The transition away from carbon-intensive activities will span decades, but market expectations could change instantaneously. Positioning portfolios ahead of this transition is strategic, with potential for both risk and return payoffs. Join Mark Carhart in discussing carbon transition risk.

Global supply chain exposure and vulnerability to increasing climate extremes with Dr. Sandor Boyson

Global supply chain exposure and vulnerability to increasing climate extremes with Dr. Sandor Boyson

Global supply chains are a central organizing mechanism of the economy. Their effective management involves making trade-offs between network efficiency and resilience, as well as broader environmental, social, and governance impacts. Watch the replay with Dr. Sandor Boyson, Dr. Michael Gerst and Russ Wermers where they discuss global supply chains’ exposure and vulnerability to increasing climate extremes.

Hedging Climate Change News

Pricing climate change risk in markets with Robert Litterman

Pricing greenhouse gas emissions involves making trade-offs between consumption today and unknown damages in the (distant) future. This setup calls for an optimal control model to determine the carbon dioxide (CO2) price. Watch the replay where Robert Litterman discusses pricing climate change risk in markets.

Hedging Climate Change News

Hedging Climate Change News with Stefano Giglio

Watch the replay where Stefano Giglio proposes and implements a procedure to dynamically hedge climate change risk. The resulting hedge portfolios outperform alternative hedging strategies based primarily on industry tilts. In this discussion Stefano will conclude and explore directions for future research on financial approaches to managing climate risk.

Enhancing traditional equity style factors with Machine Learning

Do investors care about carbon risk? with Patrick Bolton

Stocks of firms with higher total CO2 emissions (and changes in emissions) earn higher returns. This carbon premium can be explained through differences in unexpected profitability or other known risk factors. Watch the replay where Patrick Bolton and Marcin Kacperczyk discuss their results which are consistent with an interpretation that investors are already demanding compensation for their exposure to carbon emission risk.

USA, California, Orange trees , Visalia town

Decomposing the value of corporate culture with Jillian Grennan

Extracting signals of ESG metrics relies on quantifying qualitative concepts, yet divergent approaches have resulted in inconsistent and confusing constructs. Using alternative data sources, Jillian shows how to measure corporate culture in a manner consistent with the distinct dimensions emphasized by psychologists.

ESG data: Kicking the tyres with Gerald Garvey and Julie Hudson

Catch up now with Gerald Garvey, PhD, Co-Head of Equity Research, Blackrock and Julie Hudson, Global Head of ESG Research, UBS as they discuss ESG data. This talk investigates the labyrinthine topic of ESG data; when might ESG KPIs be decision-useful, irrelevant or (even) misleading in an investment context.

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Factors

Quant video series

Economic policy uncertainty and global portfolio allocations

What happens when Economic Policy Uncertainty rises? How can active managers allocate global funds? Do global asset managers suffer from the home-bias effect?  Prof. Russell Wermers discusses the impact of EPU shocks on the portfolio allocations of global asset managers.

Quant video series

Opportunities for investors in China, sectors of promise and risks

China’s economy has started to slowdown but there are sectors of promise. Prof. Ning Zhu discusses why China remains attractive, the risks and the opportunities for investors.

Quant video series

Who chases returns? Evidence from the Chinese stock market

In 2017, it was estimated that retail investors in China accounted for more than 85% of the daily value traded. Shushu Liang discusses the novel approach to capturing China on-shore retail investors and the impact of their participation on stock performance.

Quant video series

Social transmission bias: Evidence from an online investor platform

Social networks are powerful mechanisms for the transmission of information. However self-enhancing transmission bias acts as a filter for only successes and leaving out losses. Prof. Baolian Wang discusses the effects and impact it has on investors’ trading and performance.

People crowd on road

The big question - will value be great again with Gerald Garvey

The discussion examines the performance of value over the past decade and asks the question 'can we make value great again?' Or should we focus our attention on new differentiated sources of alpha? Watch Gerald Garvey debate this topic.

Detail of a white wall

Reports of value’s death may be greatly exaggerated with Campbell R. Harvey

In the second session to the value debate we ask if value is dead? Are we measuring value correctly? And are we set for an historic value rally relative to growth over the coming decade? Watch the webinar replay where Campbell R. Harvey discusses value and the future of value investing.

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Machine Learning

Similar stocks with Professor Jianfeng Yu

Watch Professor Jianfeng Yu measure the similarity between stocks’ characteristics and show that stocks most similar to other stocks that have experienced high (low) returns in the past month earn abnormally high (low) returns in the subsequent month. This effect is strong in Chinese equities even after controlling for CAPM alpha and Fama&French factors.

Language and domain specificity: A Chinese financial sentiment dictionary with Professor Russell Wermers and Professor Alan Huang

Catch up now with Professor Russell Wermers and Professor Alan Huang as they use machine learning to develop a Chinese language financial dictionary of sentiment from 3.1 million financial news articles.

Market efficiency in the age of machine learning with Professor Talis Putnins

Watch Professor Talis Putnins webinar discussing how machines are driving market efficiency and where humans still have an advantage in financial markets.

Machine learning approach to mean reversion trading with Prof. Tim Leung

Watch Prof. Tim Leung discuss pair trading alongside a machine learning approach to mean reversion trading. Full problem formulation with numerical examples are provided.

Machine learning for optimal portfolios with Professor Tomaso Aste

Join Prof. Tomaso Aste in understanding how to attack and resolve optimal portfolio errors with model improvements. An acknowledgement of the benefits for portfolios constructed in the US, UK and Chinese markets.

Real economy portfolio: The market risk premium as a source of alpha with Gerald Garvey

Machine Learning for Algorithmic Trading With Stefan Jansen

Watch the replay with Stefan Jansen where he presents examples from his book Machine Learning for Algorithmic Trading and discusses the use of machine learning for portfolio optimization. In particular he introduces the use of Variational Autoencoder and Generative Adversarial Networks, both techniques are flavours of Neural Networks and Deep Neural Nets.

Artificial intelligence, firm growth and industry concentration with Tania Babina

Artificial intelligence, firm growth and industry concentration with Tania Babina

Which firms invest in artificial intelligence (AI)? What are the impacts of such investments? Join Tania Babina to discuss.

Windows in Muscat, Oman.

Reinforcement learning, its inverse, and applications for quant finance with Igor Halperin

One of the most common problems of quantitative finance is portfolio trading in discrete time. Watch the replay where Igor Halperin and Andreas Schroeder discuss the applications of Reinforcement Learning (RL) and Inverse Reinforcement Learning (IRL) for dynamic portfolio optimization and wealth management. 

Lego robotics project

Machine learning for asset managers with Prof. López de Prado

Successful investment strategies are specific implementations of general theories. An investment strategy which lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate their efforts on developing a theory rather than on back-testing potential trading rules. Watch Prof. López de Prado discuss machine learning and investment strategies.

Enhancing traditional equity style factors with Machine Learning

Enhancing traditional equity style factors with Machine Learning with Tony Guida

The success of machine learning in the field of image recognition has fuelled a wave of Artificial Intelligence enthusiasm but attempts to apply the techniques to other fields often fail. Particularly in finance. Watch Tony Guida discuss enhancing traditional equity style factors with Machine Learning.

Windows in Muscat, Oman.

Interpretable deep learning for fundamental factor modeling with Matthew Dixon

The discussion examines interpretable deep learning for fundamental factor modelling and how it can help capture non linearity, factor interaction, and develop models robust to outliers.

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Macro

The great demographic reversal and implications for equities with Charles Goodhart and Manoj Pradhan

Watch the replay with Charles Goodhart and Manoj Pradhan as they discuss how the underlying forces of demography and globalisation will shortly reverse three multi-decade global trends. What does this mean for equities in both the short and long term? What is the impact on factors and risk tolerance? Catch up now to find out.

Macro recovery and Macro modelling uncertainty with Randall Kroszner

Watch Professor Randall Kroszner's webinar discussing the uneven global recovery from the pandemic, central banks challenges, outlook for interest rates and inflation.

Real economy portfolio: The market risk premium as a source of alpha with Gerald Garvey

Does money change everything? With William N. Goetzmann

Explore the critical influence of finance over time and space. Join Goetzmann as he examines the role of financial technologies and institutions in helping the development of urban centres and culture.

Enhancing traditional equity style factors with Machine Learning

Social transmission bias in economics and finance with David Hirshleifer

Watch the replay where David Hirshleifer and Russ Wermers, discuss social transmission bias in economics and finance and how it affects social processes shaping economic thinking and behaviour. In this discussion David uses “fables” (models) to illustrate the novelty and scope of the transmission bias approach, and offers several emergent themes which can help explain booms, bubbles, return anomalies, and swings in economic sentiment.

Close-up of an opened book

The impact of narrative economics with Robert J. Shiller

The stories people tell - about economic confidence or panic, the American dream, or Bitcoin - affect economic outcomes. Listen to Robert J. Shiller and Russ Wermers consider viral stories. Our event will discuss how "narrative economics" can influence the ability to predict and prepare for, and lessen the damage of major economic events. Watch the replay where Robert J. Shiller and Russ Wermers consider viral stories.

Aerial view of colourful saline lakes and outbuilding, Cagliari, Sardinia.

Financial markets and news about the Coronavirus with Harry Mamaysky

Using a twelve topic model which optimizes the trade-off between number of topics and topic coherence Harry shows that before mid-March 2020 markets react more to the same quantum of news when volatility is higher – a phenomenon he describes as hypersensitivity.

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Market Structure

The future of investment management and the opportunities for active managers with Ronald Kahn and Russ Wermers

Investment management is in flux, arguably more than it has been in a long time. The rise of index funds, factor investing (smart beta) and ETFs drove a significant shift in recent years. Catch up now to find out what this means for the future of investment management.

Cloud covered mountain scenery

The impact of COVID-19 on market microstructure with Paul Besson

Covid-19 crisis has impacted the European markets and its effects on volatility and liquidity. Watch the replay where Paul Besson discusses the widening of the bid-ask spreads, the important role of market markers in times of stress, and why it matters for portfolio managers and traders and where they should focus their attention.

Risk: Illusion of control with Jon Danielsson

Did you miss our talk with Jon Danielsson as he discussed why the risk we measure and manage too often tends to be the least important risk? Catch up now to find out the consequences for investors and financial stability.

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Portfolio Construction

Preserving alpha in currency investing and an FX overlay strategy for Chinese equities with Professor Michael Melvin

Join Professor Michael Melvin as he discusses the effect of trade size and rebalancing frequency on FX strategy returns and as he details a strategy to manage the global investor’s problem of mitigating the currency when managing portfolios of Chinese equities.

Approaching Mean-Variance Efficiency for Large Portfolios with Prof. Li

Watch Prof. Li present unconstrained regression representation of the mean-variance optimisation problem combined with high-dimensional sparse-regression method. Discover how investing in individual stocks, in addition to the Fama-French three factor portfolios, leads to improved performance.

Covariance matrix estimation for portfolio selection: Markowitz meets goldilocks and sharknadoes with Prof. Michael Wolf

Watch the replay with Prof. Michael Wolf as he presents a “Review and Guide to Covariance Matrix Estimation”. He covers his famous work on shrinkage and estimation of the covariance matrix. He also discusses the context of Factor models for portfolio selection in large dimensions.

Strategic risk management: designing portfolios and managing risk with Campbell R. Harvey

Explore the idea that in a modern world, risk management should be essential to portfolio design with Campbell R. Harvey.

Real economy portfolio: The market risk premium as a source of alpha with Gerald Garvey

Real economy portfolio: The market risk premium as a source of alpha with Gerald Garvey

Join Gerald Garvey in the discussion of market risk premium as a source of alpha. The discussion is positioned from the perspective of an active equity manager to discover unique alpha from a portfolio closer to the underlying economy than a cap weighted benchmark.

Market impact, co-impact and cross-impact with Jean-Philippe Bouchaud

Market impact, co-impact and cross-impact with Jean-Philippe Bouchaud

Jean-Philippe Bouchard shares his insights on modelling market impact following twenty years’ worth of research into transaction cost modelling. Watch as he discusses market impact, co-impact and cross-impact from a range of different perspectives.

Aerial view of beach lined with thatch parasols, Rhodes island, Greece.

Bayesian solution to the factor zoo with Svetlana Bryzgalova

Since the advent of systematic factor investing, the pace of discovery of new sources of return has been rapidly accelerating. As a result, the so-called Factor Zoo problem now poses a significant challenge for the investment community. Watch Svetlana Bryzgalova discuss this topic.

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Investor Behaviour

Windows in Muscat, Oman.

TV Advertising and Real-Time Retail Investor Behavior with Alminas Zaldokas

By analysing minute-by-minute US TV advertising data covering some 300 firms, 326,000 ads, and $20 billion in ad spending, Alminas documents a surge in investors SEC EDGAR queries and Google search for financial information within 15 minutes of the airing of an ad. He is then able to link the effect to an increase on the trading volume of the advertiser’s stock by retail investors.

Hosted by Paul Winter, Global Head of Quantitative Research