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Andrew Lapthorne - Thematic Baskets and Strong Balance Sheets (S4E13)
Flirting with Models
Sajen's Quantitative Research Team: Machine Learning and Stock Selection
Sajen's quantitative re arch team started its endeavors into machine learning and stock selection in 20 16. What has the team learned since then? Quite a lot actually. It's confirmed a lot of things that we thought about for data, bad data, and machine learning is toxic. We just experimented at giving it a look forward bias of two. Take distance to default, distance to te fault is a non linear factor. No one cares about balance sheet risk until they do. So most of he time, having a low beater verses the market is meant to be a drag on performance. The technology has improved so much. You don't need to build them. They're there, available
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