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Invest Like the Best with Patrick O'Shaughnessy
Eric Sorensen - How Quant Evolves - [Invest Like the Best, EP.139]
Conversations with the best investors and business leaders in the world. We explore their ideas, methods, and stories to help you better invest your time and money. Hear stock market and boardroom insights you can't find anywhere else. If you're a professional investor, CEO, entrepreneur, or business strategist, this is for you. Explore all our episodes and learn more at https://www.colossus.com
Show Notes
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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 Ph.D. along the way.
Please enjoy our conversation on the changing landscape of quantitative investment strategies.
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub.
Follow Patrick on Twitter at @patrick_oshag
Show Notes
(First Question) – His background in the Air Force
– Boyd: The Fighter Pilot Who Changed the Art of War
– Training people on high-performance machines
– Traits that made for better pilots
– The evolution of quantitative equity research and its stages
– How his research led to becoming a practitioner
The early feature sets in his research
– Tradeoffs in the spectrum of interpretability
– Early days of his practitioner career
– Risk Premia and the 5 C’s
– Quantitative Equity Portfolio Management: Modern Techniques and Applications
– Applying the 5 C’s to value investing
– Knowing when a strategy/signal is broken
– What does this strategy plan mean for his firm today
– Mixing expert systems and portfolio construction
– Natural language processing
– The cultivating the power and creativity to ask good questions
– The concept of a research graveyard
– State of risk premia today
– Active equity process
– Frontiers of research that he’s excited about
– Safe havens for non-quantitative investors
– Advice for young quants
– Quants on the buy-side that he admires
– Kindest thing anyone has done for him
Learn More
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub
Follow Patrick on Twitter at @patrick_oshag
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