Clayton Gillespie - A Fundamental View of Quant Equity (S7E5) | Flirting with Models

In this episode of "Flirting with Models," Corey Hoffstein interviews Clayton Gillespie, VP at Deutsche Bank, about incorporating fundamental analysis into quantitative equity strategies. Clayton shares his background in fundamental equity research and how it informs his current work in quant equity. The conversation explores the friction between quant and fundamental viewpoints, using examples like Amazon's profitability and Fama-French's value premium. They discuss how fundamental insights can help identify emergent risk factors during regime changes, such as during COVID-19, and how to avoid biases when incorporating analyst insights into quantitative models. Clayton emphasizes the importance of understanding the "why" behind statistical correlations and the value of combining both fundamental and statistical approaches to improve alpha signals and manage risk effectively.

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Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

Flirting with Models

Introduction to Clayton Gillespie's Background and Entry into Quant Equity

Reconciling Quant and Fundamental Viewpoints: The Fama French Paradox and Amazon Example

Anchoring Research with Bottom-Up Valuation and Identifying False Positives

Structural Changes in Equity Reversion Strategies and Emergent Factors During COVID

Incorporating Fundamental Insights into Quant Strategies and the Role of Collaboration

Addressing the Skepticism: Is Fundamental Analysis a Crutch for Poorly Designed Statistical Models?

Incorporating Fundamental Insights While Avoiding Biases and the Impact of LLMs

LLMs, Alpha Signals, and the Importance of Improving Existing Factors

Quantifying Improvement in Trading Signals and the Temptation to Muddy the Premium

Obsessions and Conclusion

Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

Flirting with Models

00:00Introduction to Clayton Gillespie's Background and Entry into Quant Equity

Introduction to Clayton Gillespie's Background and Entry into Quant Equity

05:33Reconciling Quant and Fundamental Viewpoints: The Fama French Paradox and Amazon Example

Reconciling Quant and Fundamental Viewpoints: The Fama French Paradox and Amazon Example

11:18Anchoring Research with Bottom-Up Valuation and Identifying False Positives

Anchoring Research with Bottom-Up Valuation and Identifying False Positives

18:01Structural Changes in Equity Reversion Strategies and Emergent Factors During COVID

Structural Changes in Equity Reversion Strategies and Emergent Factors During COVID

24:00Incorporating Fundamental Insights into Quant Strategies and the Role of Collaboration

Incorporating Fundamental Insights into Quant Strategies and the Role of Collaboration

31:26Addressing the Skepticism: Is Fundamental Analysis a Crutch for Poorly Designed Statistical Models?

Addressing the Skepticism: Is Fundamental Analysis a Crutch for Poorly Designed Statistical Models?

35:55Incorporating Fundamental Insights While Avoiding Biases and the Impact of LLMs

Incorporating Fundamental Insights While Avoiding Biases and the Impact of LLMs

41:50LLMs, Alpha Signals, and the Importance of Improving Existing Factors

LLMs, Alpha Signals, and the Importance of Improving Existing Factors

47:03Quantifying Improvement in Trading Signals and the Temptation to Muddy the Premium

Quantifying Improvement in Trading Signals and the Temptation to Muddy the Premium

53:21Obsessions and Conclusion

Obsessions and Conclusion