Inigo Fraser-Jenkins and Aaron Brown Debate The Future Of Quant Investing
Odd Lots
Bloomberg
4.5 • 2K Ratings
🗓️ 23 November 2020
⏱️ 49 minutes
🧾️ Download transcript
Summary
Traditional quant strategies that try to screen for stocks that are "cheap" have had an extremely rough period. So is this just a temporary setback that will eventually mean revert, or are the existing strategies dead and busted? Earlier this year, Inigo Fraser-Jenkins of Bernstein Research provocatively said he was sticking a fork in the quant world. But not everyone agrees with him that it's a lost cause. So in addition to talking with Fraser-Jenkins, we also brought on Aaron Brown, formerly of AQR Capital Management, for a debate on what works in quant and what the future holds
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| 0:00.0 | Join us in Seattle on November 8th for Bloomberg's intelligent automation briefing about transformation in a time of uncertainty. During this special evening event, top business and IT executives will gather to explore ways in which intelligent automation can offset economic |
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| 0:22.3 | This program is proudly sponsored by IBM. Register at |
| 0:25.8 | Bloomberg Live.com slash automation slash radio. Hello and welcome to another episode of the Odd Lots podcast I'm Tracy Allaway. |
| 0:47.0 | Tracy Allaway. |
| 0:48.0 | Tracy, we're going to have a debate today. |
| 0:50.0 | I know, it's our first ever odd-lots debate. It's pretty exciting. |
| 0:57.0 | I think we had one like a few years ago about like fiscal policy in India or something like that. |
| 1:02.0 | I feel like we've had at least one before but maybe not maybe I'm |
| 1:06.4 | hallucinating that. Yeah I don't think so and this one is kind of on a topic that we've |
| 1:12.1 | touched on a few times this year, but it's the terrible underperformance of quant investing in recent times. |
| 1:21.7 | Yeah, exactly right. So for people who aren't as familiar, but as we've been talking about a lot, like a lot of traditional quantitative strategies, quantitative signals have value investing, quantifying stocks that look cheap, buying them, shorting the ones that look |
| 1:42.0 | cheap, buying them, shorting the ones that look expensive, things like that where you sort of like take a screen or some sort of method and sift out hundreds or thousands of stocks that always churned them of various sorts. |
| 1:56.6 | They really have not delivered the performance that they did in the past or that the performance |
| 2:02.3 | that's some of the academic work underpinning them would suggest |
| 2:05.8 | what happened. |
| 2:06.8 | Yeah, and I think a big part of this existential crisis for Quant Investing, if you will, is that a lot of that under performance could be forgiven in |
| 2:16.9 | 20 you know a lot of things have changed there's been a lot of unexpected |
| 2:22.1 | developments this year to say the least but even before |
| 2:25.9 | 2020 want investing or systematic investing or factors such as value however you want to put it, |
| 2:34.4 | they haven't been doing as well as one might have expected. |
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