In this episode of "Flirting with Models," Corey Hoffstein interviews Jeffrey Rosenberg, Managing Director at BlackRock, about the history and evolution of quantitative fixed income strategies. They discuss the differences between quant equity and quant fixed income, the impact of financial crises like 2002 and 2008 on the field, and the shift from sell-side to buy-side innovation. Rosenberg explains BlackRock's topology of systematic fixed income solutions, including enhanced indexing, factor investing, and pure alpha plays, emphasizing the importance of quality and value factors within the credit space. The conversation also covers the challenges of implementing quant strategies in fixed income due to instrument diversity and high transaction costs, as well as the impact of ETFs on liquidity and price discovery. Finally, they address the problem of declining stock-bond correlation and how systematic fixed income can engineer diversifying outcomes through defensive alpha strategies.
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