Invest Like the Best with Patrick O'Shaughnessy Eric Sorensen - How Quant Evolves - [Invest Like the Best, EP.139]
Jul 23, 2019
In this conversation, Eric Sorensen, CEO of Panagora Asset Management and a veteran of quantitative research, shares insights drawn from his diverse background, including a stint as a fighter pilot. He discusses the evolution of quantitative equity research and its increasing significance in financial markets. Eric also delves into the role of natural language processing in finance and the importance of creativity and innovation in research. Additionally, he highlights how risk premia impacts investment strategies and the necessity of adapting to a rapidly changing landscape.
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Early Quant Models
- Early quant models were simpler, focusing on factors like value based on projected growth and normalized earnings.
- These models were effective due to their slow-moving nature and limited competition.
Expert Systems and Quant
- Sorensen explains the importance of combining expert knowledge with quantitative analysis.
- He describes using expert systems, like interviewing analysts, to build a biotech model.
NLP in Finance
- Panagora uses natural language processing (NLP) to analyze corporate filings and detect sentiment.
- One example involves deciphering Chinese characters to gauge market sentiment.
