I recently received a reference request for an alumnus of my class who was seeking employment at a Financial Advisory Firm. It was a very pleasant and productive encounter – my former student advised me via email that I was listed as a reference and I might get a call; I received an email from a pretty high level person at my student’s prospective employer to schedule a call; we had a very productive call.<\/p>\n
During the call, I told the employer about some of the quantitative investing stuff we do in in my class. The employer said it would be useful – their firm did similar stuff for a fixed income product. This was my second run-in with a firm that does quant stuff with fixed income. It appears quantitative investing is growing in fixed income, but there may also be issues.\u00a0 (see\u00a0https:\/\/www.barrons.com\/articles\/is-fixed-income-ready-for-factors-1530897141<\/a> )<\/p>\n Blackrock has a delightful webpage on the space (\u00a0https:\/\/www.ishares.com\/us\/strategies\/fixed-income-factors<\/a> ) where they highlight the main factors in fixed income (FI) as value, quality, momentum, carry, and low vol. Very similar to Equities. There’s also academic work in this regard (\u00a0https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2516322<\/a>\u00a0 for example).<\/p>\n On the other hand, high transactions costs, large minimum investment amounts, minute differences between bonds that broad factors may not pick up (but that may end up making a huge difference), and buy-and-hold-to-maturity investors may prove to be headwinds in the space.<\/p>\n More specifically, there may be additional signals, besides the usual corporate finance and market price signals, that may be informative. The employer I spoke to was in the muni bond space, and was using geographic data ( I imagine micro level data from the various municipalities whose bonds they were considering )\u00a0 to try and predict future credit moves.<\/p>\n I’d imagine with the wealth of data out there, and the variety of financial instruments traded, there may be some very interesting predictive relationships to be uncovered outside the equity markets.<\/p>\n","protected":false},"excerpt":{"rendered":" I recently received a reference request for an alumnus of my class who was seeking employment at a Financial Advisory Firm. It was a very pleasant and productive encounter – my former student advised me via email that I was listed as a reference and I might get a call; I received an email from […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[4,10,11,2],"tags":[],"_links":{"self":[{"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/posts\/237"}],"collection":[{"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/comments?post=237"}],"version-history":[{"count":3,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/posts\/237\/revisions"}],"predecessor-version":[{"id":240,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/posts\/237\/revisions\/240"}],"wp:attachment":[{"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/media?parent=237"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/categories?post=237"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.sugata.in\/index.php\/wp-json\/wp\/v2\/tags?post=237"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}