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 PhD along the way.
Please enjoy our conversation on the changing landscape of quantitative investment strategies.
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
/rating_on.png "1 Star")
Loading...
I keen on podcasts you are sharing here! Always great information and clever thoughts with a strong research base! Eric Sorensen is a true and passionate professional and the conversation with him inspires me a lot! My research topic is the investment strategy and I really enjoy it! Because sometimes in college you have tough or boring subjects, and it is hard to write something without plagiarism. I always check myself with this useful tool - you can try this out to stay unique. We should learn more about quants investment strategy before implementing this strategy in the real market place. So thank you for sharing!
Thanks for sharing this info!
Chevy cruze engine oil change cost $175 each, which is a huge savings over the $200-$300 for Petro-Canada. On top of that the cost of wiring and maintaining the engine is usually expensive https://carfluidfinder.com/motor-oil/chevy-cruze/. We had the question on how much a regular 11-way breaker on a 7-speed by replacing it with a 3500 series breaker would cost us. You would think with all the current market pressures going on right now we would be giving a simple answer, but unfortunately we’ve found that some shops are still going the old way. For some reason we have been told that not using the right breaker for the job will increase performance, which for some reason never made any sense to us. A number of countries around the world have different types of breaker packages and the choices are expensive