Mikhail Samonov


Founder
Two Centuries Investments


4:00 PM Building a unique, fully quant-driven strategy on fundamental principles: Lessons learned, pitfalls to avoid

  • Great quant models are built based on a deep, refined and experience-driven understanding of some processes in asset pricing. 
  • There are many such in-depth fundamental investment philosophies that can provide robust frameworks for great quant models. 
  • Most important benefits of a fundamental framework are the insightful questions it poses. Quants with data and computing tools are great at answering questions, but not at articulating them.  
  • Example: Dynamic Contextual Alpha Model based on a Fundamental Investment Philosophy. 
  • Other potential examples: Industry Models, Stock Specific Models, Macro Sensitivities on Stocks. 
  • Things that don't work: Making fundamental analysts do quant things like rank stocks. Making quant models do fundamental things, like screen a small group of stocks for fundamental analysts to pick from; Quants using 'of the shelf' 'academically tested' 'fundamental' approaches. Fundamentals using 'textbook' security analysis. Alpha comes from innovation, uniqueness in style, refined and customized competitive edge in the investing process. 



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