Marcos Lopez de Prado named “2019 Quant of the Year” by The Journal of Portfolio Management

Marcos Lopez de Prado has been named “2019 Quant of the Year” by The Journal of Portfolio Management. Here are some excerpts from their announcement and more detailed press release:

The Journal of Portfolio Management (JPM) has named Marcos Lopez de Prado ‘Quant of the Year’ for 2019. JPM has instituted the annual Quant of the Year Award to recognize a researcher’s history of outstanding contributions to the field of quantitative portfolio theory. It complements the Bernstein Fabozzi/Jacobs Levy Award, which JPM established in 1999 to acknowledge the most innovative research paper published in a given year by JPM.

Machine

Continue reading Marcos Lopez de Prado named “2019 Quant of the Year” by The Journal of Portfolio Management

January 29th, 2019 | Category: Essays | Comments are closed

Jack Bogle: The apostle of index investing

John C. Bogle; credit NY Times

Jack Bogle, founder of Vanguard Funds and a life-long apostle of index investing, died on 16 January 2019. Vanguard CEO Tim Buckley summarized his career in these terms: “Jack Bogle made an impact on not only the entire investment industry, but more importantly, on the lives of countless individuals saving for their futures or their children’s futures.”

J.C. de Swaan, lecturer at Princeton University and partner at Cornwall Capital, recalls that for the past several years Bogle has frequently visited de Swaan’s class of first-year students at Princeton. Bogle’s deep voice and high

Continue reading Jack Bogle: The apostle of index investing

January 18th, 2019 | Category: Essays | Comments are closed

How bad is the problem of data misuse in finance research papers?

[Editor’s note: This guest post is by Zachary David, an analyst who advises institutional clients on trading practices (website: http://zacharydavid.com). The article below is adapted from this blog.]

Spurious results are the norm

Having done a healthy share of paper replications over the past decade, and having been consistently disappointed when the models or techniques broke down on data shortly after (or even before) the authors’ sample periods, I would say that data misuse is a gigantic problem — spurious results are the norm. But also over those years, the granularity of market data available to researchers has become finer,

Continue reading How bad is the problem of data misuse in finance research papers?

January 1st, 2019 | Category: Essays | Comments are closed