11
Feb
2020

Quant Winter

According to this recent article in FT just 15% of quant funds beat the US stockmarket index last year. Cliff Asness, head of AQR, which employs over 80 phDs and manages $186bn, has called it a “quant winter”. However, the “quant winter” has now lasted a couple of years. Old fashioned “active” portfolio managers have...
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31
Dec
2019

Soap on the water

Inspired by Gregory Zuckerman’s book on Jim Simmons  I thought that I’d try some Markov Chain analysis on company announcements. Although it is not entirely clear what Simmons does to generate consistently high returns year after year, it seems to be something to do with Markov Chains, or hidden Markov Processes. Markov chains assume the...
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