The Curious Quant

The Curious Quant series, hosted by Michael Kollo, is a discussion between technically-minded professionals in the financial services, technology and data science fields. It carefully examines the application of new data and new methodologies to common problems in financial markets. The aim is to promote better discussions about these emerging areas, and a better understanding of new technologies.

 

 

Michael Kollo is a seasoned investment professional with a deep passion for the pragmatic discussion and application of quantitative models to solve problems. His PhD in Finance is from the London School of Economics where he lectured in quantitative finance in addition to Imperial College and at the University of New South Wales. He has created models and led quantitative research teams at Blackrock, Fidelity and Axa Rosenberg in the UK before more recently moving to Australia where he established the quantitative team for the $50 billion industry superannuation fund, HESTA. Kollo is an experienced speaker, author, mentor, a keen student of philosophy and more recently, a podcaster. The Curious Quant is a series of conversations with market leaders, deep thinkers and practitioners who deal with the wonder and frustrations of these models and who are on the front line of AI innovation.

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A Simple Theory of the Financial Crisis; or, Why Fischer Black Still Matters

In this month’s Financial Analysts Journal, Tyler Cowen professor of economics at George Mason University, Virginia makes sense of the current financial crisis by drawing on some of Fischer Black’s ideas. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

Arizona expands allocation ranges, freezes private investments

The $27 billion Arizona State Retirement System has extended its asset allocation ranges and postponed the approval of new commitments to private market investments until the end of June, unless an overriding investment opportunity exception exists. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

Bps speak: the real value in internal management

A 10 per cent increase in internal investment management results in a 4.2 basis points increase in net value added to a pension fund’s bottom line, according to analysis of the CEM Benchmarking database, which has data on more than 380 global pension funds from 1991 to 2007. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

Where the growth is: mandate trends in 2009

As a recent survey by US management consultant Casey Quirk showed, for investment management, 2009 is all about beta. Director of research, Ben Phillips, spoke to Kristen Paech about mandates that pension funds are investigating, and the role alpha may play. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

That market’s got style: investing through cycles

Style investing remains a powerful tool in periods of market volatility and, in particular, style analysis reminds investors to be aware of the distinction between overall market risk and stock specific risk. Amanda White spoke with director of Style Research, Robert Schwob. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

Risk reduction pays off for ABP

The giant Dutch pension fund ABP’s plan to reduce investment risk as a means of recovery from an underfunded position is paying dividends, with the coverage ratio increasing from 86 to 91 per cent from March to April. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3

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