Listen to This Podcast Episode Here
by Patrick O’Shaughnessy

My guest this week is Eric Sorensen, the CEO of Panagora
asset management, which manages more than $46B for clients across a variety of
strategies.
Eric began his career serving in the Air Force as both a
pilot and instructor in high performance jet aircraft. He then accumulated 40
years of quantitative research and investment experience, with a PhD along the
way.
Please enjoy our conversation on the changing landscape of
quantitative investment strategies.
Show Notes
1:15 – (First Question) – His background in the Air Force
1:23 – Boyd:
The Fighter Pilot Who Changed the Art of War
3:18 – Training people on high performance machines
4:47 – Traits that made for better pilots
5:51 – The evolution of quantitative equity research and its
stages
7:56 – How his research led to becoming a practitioner
9:10 – The early feature sets in his research
10:44 – Tradeoffs in the spectrum of interpretability
12:08 – Early days of his practitioner career
13:24 – Risk Premia and the 5 C’s
14:28 – Quantitative
Equity Portfolio Management: Modern Techniques and Applications
17:13 – Applying the 5 C’s to value investing
18:38 – Knowing when a strategy/signal is broken
21:24 – What does this strategy plan mean for his firm today
24:56 – Mixing expert systems and portfolio construction
30:07 – Natural language processing
32:00 – The cultivating the power and creativity to ask good
questions
35:13 – The concept of a research graveyard
37:45 – State of risk premia today
40:04 – Active equity process
46:37 – Frontiers of research that he’s excited about
48:53 – Safe havens for non-quantitative investors
52:16– Advice for young quants
54:36 – Quants on the buy side that he admires
55:41 – Kindest thing anyone has done for him