First, I think Yuval is exactly right about combining factors. We all recognize this…
Yep. Marc provides one answer above. An answer a quant would give.
I looked at P123’s web site for introduction to new visitors. The word “quant” was there but it has been replaced by “FinTech.”
There is a lot of stuff going on that is very quant-like at P123. This includes heavy backtesting/optimization of hundreds of factors-if not into the 4 (5?) digits. Each factor assessed by the approved P123 techniques. There is even a little k-means cluster analysis going on there. But it is not called quantitative investing or machine learning or even behavioral investing (except by Marc).
Marc is that last of the quants at P123 —one of the people with a Financial Degree. Everyone else is a value analyst using a little FinTech.
Who would have guessed that?
I too now identify as a value analyst using a little FinTech (no degree required it seems). I find the radical ideas Marc presents interesting.
My actual point is that discussion on this forum has become almost useless. This is because the rules are that we can—at any time—identify as a value analyst and criticize almost any “radical” technique we wish.
Quant on quant in a fair fight: I am up for that. Heck, get your 4-letter-word dictionary out if you want (which no one has done but it would not bother me). I can give as good as I take. And I won’t need to insult any dead academics either. The ideas in texts used by AQR and other quant institutions (usually) and taught at academic institutions around the world do not need that (not that I am always correct in my understanding of those ideas). Indeed, I am not bothered now even with the weird rule in place: I have learned a lot in this discussion with Yuval and others. But I now fully recognize the we have virtually NO ability to direct P123 toward even a single standard practice in the area of quantitative analysis.
Look what it took to get an accepted practice that the radical quant Marc Gerstein (and Yuval himself 2 days earlier) was already using to be considered as a reasonable technique. Doing that again would get old.
I want to apologize for my sarcastic presentation of this: I was born that way. But it is also my sincere view of what the forum has become. Perhaps I can be forgiven considering I like almost every technique presented on the forum ESPECIALLY YUVAL’S. I just think we should call a foul when someone claims to be a “financial analyst” and uses that as a criticism of other’s ideas.
I won’t be going away from the forum anytime soon—unless I am pushed out. Perhaps my sarcasm (really a type of indirect proof that people do hate, I get it) will not get me pushed out today. That does not mean that I do not recognize that I should find better things to do with my time (until the rules change).
That does not mean that I don’t expect more great feature from “The Last Quant” Marc and the financial analysts at P123 either.
I do wish everyone well (not a good-bye).
-Jim