Ray Iwanowski's guest appearances

Ray Iwanowski

Alpha Exchange

Chris Cole

Andrew Scott

Campbell Harvey

Howard Marks

James Grant

Andy Redleaf

Jared Dillian

Christopher Cole

Mark Miller

Jeff deGraaf

Alberto Gallo

Merrill Lynch

Michael Green

Jim Bianco

Michael Pettis

OwlTail

There’s not much natural intersection between the study of mathematics and Russian literature.  But for the ever-curious mind of Ray Iwanowski, the Wharton School provided exposure to both.  Ultimately, Ray’s interest in math and physics would lead him to finance where he came upon the Black-Scholes equation and option pricing theory.  After a stint in fixed income research focused on modeling mortgage securities, Ray set upon the Ph.D. program at the University of Chicago in the early 1990s, a vibrant time for advancement in the empirical study of asset pricing.  Utilizing the toolkit he developed, Ray landed at Goldman Sachs Asset Management where he ultimately co-ran the firm’s Global Alpha business.  Today, Ray is co-founder and CIO of SECOR Asset Management, a firm that provides customized portfolio solutions to institutional clients around the world.  My conversation with Ray considers the current state of factor investing in light of the increasingly competitive search for alpha.  In the process, we look back on the 2007 quant crisis, exploring the questions of factor timing, crowding risks, and the correlation of momentum and value strategies.  We also look forward as Ray shares his views on harnessing data and utilizing artificial intelligence and machine learning.  Lastly, we delve into the volatility risk premium, how it has evolved over time, and the reflexive properties of volatility.  I thoroughly enjoyed this conversation, and the perspective Ray offered through his experience as a quant investor.  Now, my discussion with Ray Iwanowski on this episode of the Alpha Exchange.

<p>There’s not much natural intersection between the study of mathematics and Russian literature.  But for the ever-curious mind of Ray Iwanowski, the Wharton School provided exposure to both.  Ultimately, Ray’s interest in math and physics would lead him to finance where he came upon the Black-Scholes equation and option pricing theory.  After a stint in fixed income research focused on modeling mortgage securities, Ray set upon the Ph.D. program at the University of Chicago in the early 1990s, a vibrant time for advancement in the empirical study of asset pricing.  Utilizing the toolkit he developed, Ray landed at Goldman Sachs Asset Management where he ultimately co-ran the firm’s Global Alpha business.  Today, Ray is co-founder and CIO of SECOR Asset Management, a firm that provides customized portfolio solutions to institutional clients around the world.  My conversation with Ray considers the current state of factor investing in light of the increasingly competitive search for alpha.  In the process, we look back on the 2007 quant crisis, exploring the questions of factor timing, crowding risks, and the correlation of momentum and value strategies.  We also look forward as Ray shares his views on harnessing data and utilizing artificial intelligence and machine learning.  Lastly, we delve into the volatility risk premium, how it has evolved over time, and the reflexive properties of volatility.  I thoroughly enjoyed this conversation, and the perspective Ray offered through his experience as a quant investor.  Now, my discussion with Ray Iwanowski on this episode of the Alpha Exchange.</p>

Ray Iwanowski, Co-Founder and CIO, SECOR Asset Management