Flirting with Models cover image

Flirting with Models

Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

Feb 5, 2024
Clayton Gillespie, VP at Deutsche Bank, talks about reconciling quant and fundamental perspectives in investing, incorporating survey insights into strategies, understanding regime changes, trade-offs between fundamental and statistical factors, managing risk and improving alpha signals, sticking with the factor premium, and the intersection of philanthropy and quantitative analysis.
56:08

Podcast summary created with Snipd AI

Quick takeaways

  • Quantitative equity strategies can benefit from incorporating a strong fundamental understanding to identify emergent risk factors during regime changes.
  • Pure extraction of premium is essential for long-term success in quantitative strategies, even if it may not perform as well as muddled strategies.

Deep dives

Understanding the Clash of Fundamental and Quantitative Approaches

The clash between fundamental and quantitative approaches is explored in this podcast episode featuring Clayton Gillespie. Clayton emphasizes the need for both approaches and discusses the challenges and benefits of integrating fundamental insights into quantitative strategies. He highlights the importance of understanding how fundamentals can inform statistical interpretations and how a strong fundamental understanding can help identify emergent risk factors during regime changes. The episode also delves into the role of quantitative tools in capturing fundamental insights, the importance of pure extraction of premium in multi-factor strategies, and the impact of philanthropy in combining quantitative and philosophical principles.

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