Andrius Sikov: Quantitative investing is entering a third wave focused on alternative data
Andrius Sikov · Panel: Alternative Data in Financial Services (FirstMark's Data Driven) · Mar 24, 2017 · at 4:24
Andrius Sikov of Data Capital Management discusses the evolution of quantitative investing at a panel on alternative data in financial services.
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“We are, it's a third generation, we were just at the very beginning of the third wave of quantitative computing revolution. The first one was pricing the derivatives correctly, powered by LTCM, the first guys who started it doing properly scale. Once that was done, then people moved to factor investing, which is really finding factor, could be trend following, it could be investing in value in certain microeconomic conditions, etc. Now a lot of people are doing this, so it also went away to your point. That's why a lot of people cease to perform as well as they used to. Now there is a third revolution, which we're just seeing the beginning of, which is a data revolution, where you use essentially the same models, but you make a much more informed decision by looking at location check-ins, looking at same store sales through satellites, through credit card transaction data, et cetera.”
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