Flirting with Models

Replacing linear factors with a non-linear, characteristic approach in quant equity


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We’re back with another clip from the archives.  This time it’s Season 4 Episode 9 with Vivek Viswanathan.

For three decades, equity quants have largely lived under the authoritative rule of the Fama-French 3 Factor Model and linear sorts.  In this episode, Vivek provides an cogent alternative to the orthodoxy.  Specifically, he explains why an unconstrained, characteristic-driven portfolio can more efficiently capture behavioral-based market anomalies.  I think this is a master class for alternative thinking in quant equity.

It was really tough to clip this episode.  Vivek’s comments about Chinese markets provide a tremendous example about finding alpha in alternative markets.  But I’ll leave that for you to go back and dig out!

Okay, let’s dive in.

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Flirting with ModelsBy Corey Hoffstein

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