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

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

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

Quantitative Equity Portfolio Management: Modern Techniques and Applications

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