"Orthogonalization" The problem statement is: You have a risk model that divides both forward risk and historical performance into systematic and idiosyncratic components. And you have decided to manage those core model factors in whatever way you want, anywhere along a

I don't remember if I posted it already, but here are the slides of the talk I gave at MSCI a couple of weeks ago. Thankfully short. I enjoyed the visit. MSCI/Barra is to Factor Modeling what the Sumerians were to writing. And they keep doing research. dropbox.com/scl/fi/1er8j5x…

Good episode to listen to if: - You’ve ever heard someone on this platform talk vaguely about a pod blowing up - You’ve heard any of the recent talk about factor rotation in the market - You wonder how pod shops manage individual pod risk (vs the whole of the fund) and how

Really enjoyed doing the Odd Lots podcast with Tracy Alloway & Joe Weisenthal. Discussed risk management systems, stock selection fundamentals, and much more.

Thanks so much Gappy (Giuseppe Paleologo). High praise coming from you.

This was an extremely eye opening conversation with Rich. Several things about multi-strategy hedge funds, and the types of risks they take, suddenly made sense to me after this chat.

Yep

Uncovering Value Definitely. Most major LOs already have somewhere in the org that cares, often a lot, about factor exposures, risk, return decomp - a risk team / CIO office / IR / perf. evaluation team will live in this stuff. What's secularly changing is investment staff at every type of firm

Good illustration of actually my favorite framing of factors, also from Gappy (Giuseppe Paleologo) :

Rich Falk-Wallace reminded me that I had given a lecture on factor investing. I put it (long ago) in my linktree page (link in reply). My voice-over made it sound as if Joe Pesci were talking to you about quant finance. For that, you will have to sign up for Brett Caughran 's

Gappy (Giuseppe Paleologo) Rich Falk-Wallace transcript available here for those who are interested: drive.google.com/file/d/1GoeNtd…