Eric Sorensen - How Quant Evolves - [Invest Like the Best, EP.139]

Invest Like the Best with Patrick O'Shaughnessy

Colossus

Technology, Business, Investing

4.7 • 2.5K Ratings

🗓️ 23 July 2019

⏱️ 57 minutes

🔗️ Recording | iTunes | RSS

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Summary

My guest this week is Eric Sorensen, the CEO of Panagora asset management, which manages more than $46B for clients across a variety of strategies. Eric began his career serving in the Air Force as both a pilot and instructor in high-performance jet aircraft. He then accumulated 40 years of quantitative research and investment experience, with a Ph.D. along the way. Please enjoy our conversation on the changing landscape of quantitative investment strategies. For more episodes go to InvestorFieldGuide.com/podcast. Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub. Follow Patrick on Twitter at @patrick_oshag Show Notes 1:15 - (First Question) – His background in the Air Force 1:23 – Boyd: The Fighter Pilot Who Changed the Art of War 3:18 – Training people on high-performance machines 4:47 – Traits that made for better pilots 5:51 – The evolution of quantitative equity research and its stages 7:56 – How his research led to becoming a practitioner 9:10 - The early feature sets in his research 10:44 – Tradeoffs in the spectrum of interpretability 12:08 – Early days of his practitioner career 13:24 – Risk Premia and the 5 C’s 14:28 – Quantitative Equity Portfolio Management: Modern Techniques and Applications 17:13 – Applying the 5 C’s to value investing 18:38 – Knowing when a strategy/signal is broken 21:24 – What does this strategy plan mean for his firm today 24:56 – Mixing expert systems and portfolio construction 30:07 – Natural language processing 32:00 – The cultivating the power and creativity to ask good questions 35:13 – The concept of a research graveyard 37:45 – State of risk premia today 40:04 – Active equity process 46:37 – Frontiers of research that he’s excited about 48:53 – Safe havens for non-quantitative investors 52:16– Advice for young quants 54:36 – Quants on the buy-side that he admires 55:41 – Kindest thing anyone has done for him Learn More For more episodes go to InvestorFieldGuide.com/podcast. Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub Follow Patrick on Twitter at @patrick_oshag

Transcript

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0:00.0	Hello and welcome everyone, I'm Patrick O'Shaughnessy and this is Invest Like The Best.
0:08.6	This show is an open-ended exploration of markets, ideas, methods, stories, and of strategies
0:13.9	that will help you better invest both your time and your money.
0:17.2	You can learn more and stay up to date at InvestorFieldGuide.com.
0:24.6	Patrick O'Shaughnessy is the CEO of O'Shaughnessy Asset Management.
0:28.5	All opinions expressed by Patrick and podcast guests are solely their own opinions and do
0:32.9	not reflect the opinion of O'Shaughnessy Asset Management.
0:36.3	This podcast is for informational purposes only and should not be relied upon as a basis
0:40.6	for investment decisions.
0:42.6	Clients of O'Shaughnessy Asset Management may maintain positions and the securities discussed
0:46.2	in this podcast.
0:49.6	I guess this week is Eric Sorenson, the CEO of Panagora Asset Management, which manages
0:54.1	more than $46 billion for clients across a variety of strategies.
0:58.2	Eric began his career serving in the Air Force as both a pilot and instructor in high
1:01.8	performance jet aircraft.
1:03.6	He then accumulated 40 years of quantitative research and investment experience with a
1:07.3	PhD along the way.
1:08.9	Please enjoy our conversation on the changing landscape of quantitative investment strategies.
1:15.3	Though we'd start all the way back, you have a unique background in that you spent some
1:18.6	time in the Air Force.
1:20.4	One of my all-time favorite books is a book about John Boyd and sort of the Udalupe and
1:25.0	all the interesting things that he learned.
	...

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