Chris Carrano

In this conversation, Chris Carrano, Vice President of Strategic Research at Venn by Two Sigma, shares his extensive experience in factor modeling and risk assessment. He explains the philosophy behind using 18 orthogonalized factors and the blend of Lasso and OLS to prevent overfitting. The discussion covers the challenges of analyzing private markets, the importance of interpretability in models, and actionable insights from factor results. Carrano even touches on personal interests, like his idea for a Pokémon card index as a market benchmark.

Chris Carrano, VP of Strategic Research at Venn by Two Sigma, dives into the world of quantitative market analysis. He discusses how investors can better understand market dynamics through style factors, breaking down key events like the post-Trump Rally and December's market wobble. Carrano highlights the surprising underperformance of small-cap stocks compared to larger equities in 2024, and uncovers how momentum, especially influenced by tech companies, remains a driving force even amidst rising interest rates.