Mikhail Samonov, Founder at Two Centuries Investments
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Mikhail Samonov

Two Centuries Investments

Conference Day One: March 19 2019

Sunday, May 19th, 2019

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. 

Check out the incredible speaker line-up to see who will be joining Mikhail.

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