Flirting with Models
Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.
Jeff Rosenberg - The Past, Present, and Future of Systematic Fixed Income (S7E19)
In this episode, Corey Hoffstein chats with Jeff Rosenberg about his career in quant fixed income, its evolution, and the impact of financial crises on strategies. Jeff discusses the shift from sell-side to buy-side roles, systematic innovations post-2008, and BlackRock's approach. They cover factor investing in credit, signal categorization, and AI's influence on new signals. Jeff shares insights on achieving pure alpha, managing factor exposures, and ETFs' impact on liquidity.
Key Points
- Systematic fixed income strategies have evolved from sell-side innovations to buy-side applications, benefiting from increased liquidity and the rise of ETFs.
- The complexity and specificity of fixed income instruments require unique signals and risk models, making implementation and transaction costs critical challenges compared to equities.
- Systematic fixed income can engineer defensive alpha strategies that provide diversification and stability, addressing the changing dynamics of stock-bond correlations.
Chapters
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| 2:29 | |
| 7:12 | |
| 13:18 | |
| 13:50 | |
| 18:10 | |
| 22:36 | |
| 27:22 | |
| 30:38 | |
| 34:27 | |
| 39:48 | |
| 41:28 | |
| 45:35 | |
| 46:57 | |
| 48:50 | |
| 51:31 | |
| 56:16 | |
| 58:15 | |
| 1:06:59 | |
| 1:10:21 | |
| 1:15:48 | |
| 1:16:18 | |
| 1:17:00 |
Transcript
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