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| Name | Sandrine Ungari - Alternative Risk Premia (S3E10) |
| Video Uploader | Video From Flirting with Models |
| Upload Date | This Video Uploaded At 10-04-2021 20:44:03 |
| Video Discription | My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen. Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily focused on equity and alternative risk premia. Our conversation begins with equity factors and Sandrine provides insight both into how factor construction has evolved over the last decade as well as her thoughts into where the field is headed. We broaden our discussion to include alternative risk premia, and Sandrine provides a useful mental map for categorizing this broad range of strategies. We discuss the risks of crowding, latent beta risk in levered factors, and the influence of macro economic factors. More recently, Sandrine has focused her research in the application of machine learning in strategy construction. We discuss one particular example – the application of a recurrent neural network in trend following – and Sandrine shares her views as to how machine learning might affect factor investing going forward. Sandrine also shares some interesting ideas about where future risk premia might emerge from – but you’ll have to tune in to hear! Please enjoy my conversation with Sandrine Ungari. CONNECT WITH US ⚓️ Newfound Research: https://www.thinknewfound.com 🐦 Corey on Twitter @ choffstein (https://www.twitter.com/choffstein) PODCAST 🎙 Flirting with Models: https://www.thinknewfound.com/podcast THIS VIDEO IS FOR ENTERTAINMENT AND INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE RELIED UP AS A BASIS FOR INVESTMENT DECISIONS. THE VIEWS EXPRESSED IN THIS SHOW ARE OF THE HOSTS AND DO NOT REFLECT THE VIEWS OF THE MUTINY FUND OR NEWFOUND RESEARCH. THE MUTINY FUND OR NEWFOUND RESEARCH MAY MAINTAIN POSITIONS IN SECURITIES DISCUSSED IN THIS SHOW. C9BJZzuag9w |
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