Eric Sorensen - How Quant Evolves - [Invest Like the Best, EP.139]
My guest this week is Eric Sorensen, the CEO of Panagora asset management, which manages more than $46B for clients across a variety of strategies.
Eric began his career serving in the Air Force as both a pilot and instructor in high-performance jet aircraft. He then accumulated 40 years of quantitative research and investment experience, with a Ph.D. along the way.
Please enjoy our conversation on the changing landscape of quantitative investment strategies.
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub.
Follow Patrick on Twitter at @patrick_oshag
Show Notes
1:15 - (First Question) – His background in the Air Force
1:23 – Boyd: The Fighter Pilot Who Changed the Art of War
3:18 – Training people on high-performance machines
4:47 – Traits that made for better pilots
5:51 – The evolution of quantitative equity research and its stages
7:56 – How his research led to becoming a practitioner
9:10 - The early feature sets in his research
10:44 – Tradeoffs in the spectrum of interpretability
12:08 – Early days of his practitioner career
13:24 – Risk Premia and the 5 C’s
14:28 – Quantitative Equity Portfolio Management: Modern Techniques and Applications
17:13 – Applying the 5 C’s to value investing
18:38 – Knowing when a strategy/signal is broken
21:24 – What does this strategy plan mean for his firm today
24:56 – Mixing expert systems and portfolio construction
30:07 – Natural language processing
32:00 – The cultivating the power and creativity to ask good questions
35:13 – The concept of a research graveyard
37:45 – State of risk premia today
40:04 – Active equity process
46:37 – Frontiers of research that he’s excited about
48:53 – Safe havens for non-quantitative investors
52:16– Advice for young quants
54:36 – Quants on the buy-side that he admires
55:41 – Kindest thing anyone has done for him
Learn More
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub
Follow Patrick on Twitter at @patrick_oshag
More description
My guest this week is Eric Sorensen, the CEO of Panagora asset management, which manages more than $46B for clients across a variety of strategies.
Eric began his career serving in the Air Force as both a pilot and instructor in high-performance jet aircraft. He then accumulated 40 years of quantitative research and investment experience, with a Ph.D. along the way.
Please enjoy our conversation on the changing landscape of quantitative investment strategies.
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub.
Follow Patrick on Twitter at @patrick_oshag
Show Notes
1:15 - (First Question) – His background in the Air Force
1:23 – Boyd: The Fighter Pilot Who Changed the Art of War
3:18 – Training people on high-performance machines
4:47 – Traits that made for better pilots
5:51 – The evolution of quantitative equity research and its stages
7:56 – How his research led to becoming a practitioner
9:10 - The early feature sets in his research
10:44 – Tradeoffs in the spectrum of interpretability
12:08 – Early days of his practitioner career
13:24 – Risk Premia and the 5 C’s
14:28 – Quantitative Equity Portfolio Management: Modern Techniques and Applications
17:13 – Applying the 5 C’s to value investing
18:38 – Knowing when a strategy/signal is broken
21:24 – What does this strategy plan mean for his firm today
24:56 – Mixing expert systems and portfolio construction
30:07 – Natural language processing
32:00 – The cultivating the power and creativity to ask good questions
35:13 – The concept of a research graveyard
37:45 – State of risk premia today
40:04 – Active equity process
46:37 – Frontiers of research that he’s excited about
48:53 – Safe havens for non-quantitative investors
52:16– Advice for young quants
54:36 – Quants on the buy-side that he admires
55:41 – Kindest thing anyone has done for him
Learn More
For more episodes go to InvestorFieldGuide.com/podcast.
Sign up for the book club, where you’ll get a full investor curriculum and then 3-4 suggestions every month at InvestorFieldGuide.com/bookclub
Follow Patrick on Twitter at @patrick_oshag
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