Hedge Fund Quants Unlock the Power of Dispersion: Versor's Unique Cross-Sectional Relative Value Approach
Description
In this episode of The Derivative, host Jeff Malec sits down with DeWayne Louis and Nishant Gurnani
from Versor Investments, a quantitative investment firm celebrating its 10th anniversary. The discussion delves into the personal backgrounds and journeys that led to Versor’s founding, from their work providing efficient exposure to traditional hedge fund strategies through risk premia type approaches to new methods such as their unique GETT program which goes long/short more thana
dozen global stock index futures markets.
The conversation explores the evolving skill sets required in the hedge fund industry, including the importance of math, quantitative finance, and AI/machine learning expertise.
Versor's investment strategies are examined, focusing on their use of alternative data sets and innovative approaches to alpha generation, such as their
cross-sectional relative value strategy which looks to capture dispersion in global equity markets through more than 30 alpha forecast models across short, medium, and long term time frames.
Join us for this comprehensive look into the quantitative investment strategies and innovative thinking that have helped Versor navigate the competitive hedge fund landscape over the past decade.
Chapters:
00:00-01:38=Intro
01:39-12:22= Summer in the City and starting a Quant firm
12:23-25:10= 3 broad strategies, cross-sectional portfolios & positive convexity
25:11-42:57= GETTing into the strategy, dispersion across markets & capturing market dislocations
42:58-54:26= Alternative data sets & natural language
processing
54:27-01:01:38= Using A.I., generative models & compliance constraints
01:01:39-01:10:51= Long short equity, use of data & the next 10 years
From the episode:
Has Trend Gone Flat? Return Convexity in Trend Following (whitepaper)
Versor10: A Decade of quantitative research in 10 whitepapers
Bastian Bolesta on The Derivative episode
Salemn Abraham on The Derivative episode
Follow along with Versor on Twitter @VersorInvest, look them up on LinkedIn - DeWayne | Nishant and check out their website versorinvest.com for more information
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Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures,
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