Quantitative Asset Management – Building Systematic Real-World Strategies | Michael Robbins

In this episode, we take a deep dive into quantitative investing with Michael Robbins, author of the new book “Quantitative Asset Management: Factor Investing and Machine Learning for Institutional Investing.” We discuss data science and machine learning, factor investing, risk management, the qualities of a good back test and a lot more.

  • 01:58 – Why Michael wrote the book
  • 04:11 – Is it better if the math or the finance comes first?
  • 07:13 – What is data science?
  • 10:39 – The best use of quantitative strategies
  • 11:33 – The long-term impact of machine learning on investing
  • 16:25 – Stacking premia and the equity risk premium
  • 20:24 – The criteria Michael would use to evaluate a quantitative manager
  • 25:09 – What makes a good investing factor?
  • 30:13 – Does factor timing work?
  • 33:44 – The different types of models
  • 37:51 – Is value investing dead?
  • 44:32 – What makes a good back test?
  • 45:52 – Evolving an investment strategy over time
  • 53:01 – The importance of risk management
  • 54:39 – The one lesson Michael would teach the average investor

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Originally Posted September 23, 2023 – Quantitative Asset Management – Building Systematic Real-World Strategies | Michael Robbins

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