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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ESG rethink can add 40 basis points per month: Hermes

Rigorous Environmental, Social and Governance (ESG) management can deliver an extra 40 basis points per month according to Saker Nusseibeh, CEO and head of investment at Hermes Fund Managers. “Where it [ESG] really matters for performance is in consistently avoiding bad governance. You can add 40 basis points per month… Per month!” Nusseibeh told a

International reaction to QSuper’s innovation

Australian fund, QSuper’s creation of eight different investment cohorts for its 440,000 default fund members this month has sparked curiosity and admiration from defined contribution experts in the US, the UK and New Zealand. The investment strategies for each group will be focussed on an estimated retirement outcome for that segment, taking into account the

Investors ignore liability matching at their peril

Two high profile pension funds, ATP of Denmark and HOOPP of Canada, have been very successful in managing their assets in two distinct portfolios. But the practice of fund separation, a portion of the portfolio for liability hedging and another for alpha generation, is not common in pension management. It should be. For these two

Home bias in corporate engagement revealed

Investors should take care in selecting corporate engagement firms to ensure the engagement reflects their portfolio holdings, warn academics at Oxford and Maastricht Universities following a new study which reveals a home bias in such activity. As the investment portfolios of large institutional investors become increasingly global, it is particularly important that they carefully select

The power of benchmarking: GRESB comes of age

Now in its fifth year GRESB, the benchmark that measures the sustainability performance of real estate portfolios, has been influential in changing the sector’s performance and environmental impact. Now Nils Kok, executive director of GRESB and associate professor in finance at Maastricht University, says that infrastructure and private equity assets are ripe for a benchmark

How to estimate the equity risk premium

Given the importance of equity risk premium, it is surprising how haphazard the estimation of equity risk premiums remains in practice. This paper by Aswath Damodaran at the New York University Stern School of Business examines a number of different approaches to determining the equity risk premium and why different approaches yield different values. It

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