July 25, 2024

Hedge Fund Quants Unlock the Power of Dispersion: Versor's Unique Cross-Sectional Relative Value Approach

1 hour 10 minutes

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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