Harley basman: Most times you will see out of the money calls in the equity market ing well below realized volatility. Why do you find upside convexity so appealing? It is the case that markets tend to rise slowly, so the escalator up, and they fall quickly, elevator down. And thus you see skews in the market where the puts valls higher than the call val.
Vivek Viswanathan is the Head of Research at Rayliant Global, a quantitative asset manager focused on generating alpha from investing in China and other inefficient emerging markets.
Our conversation circles around three primary topics. The first is the features that make China a particularly attractive market for quantitative investing and some of the challenges that accompany it. The second is Vish’s transition from a factor-based perspective to an unconstrained, characteristic-driven one. Finally, the critical role that machine learning plays in managing a characteristic-driven portfolio.
And at the end of the conversation we are left with a full picture of what it takes to be a successful, quantitative investor in China.
I hope you enjoy my conversation with Vivek Viswanathan.