Here are my 8-thoughts and 1 solution idea about Campbell Harvey and Yan Liu recently released paper on their influential concept of the factor zoo. To sum it up, it says that there are too many data-mined factors out there and that we should be using much higher t-statistics to accept factors.
One thing has not made sense to me.
Why does the first and likely the most important step of investing, which determines 95% of investment outcomes, is typically in the hands of Financial Advisors (including Wealth Managers and Consultants), while the second step, which barely moves the needle, belongs to Asset Managers?
A Story About Unexpected Risk.
It was at the beginning of 2008, at our downtown office on Pine Street in Manhattan. I was a young quant portfolio manager at AIG and I was standing in the office of one of my mentors, a talented senior portfolio manager who was looking nervously at his screen.
What is the most significant risk in quant (and all active) investing today?
In addition to market valuation ratios like CAPE, the slope of the yield curve is one of the most talked about signals used to estimate future recessions and market returns.
Having just attended a great AI conference in New York, here are some observations:
Can quantitative and fundamental approaches be successfully combined?
In my estimate, this has been a top 5 industry question for a long time, including this conference at which I’ll be speaking at tomorrow
The short answer is: Yes