Additional information
by Milind Sharma (Author)
A big picture analysis of quantitative factor investing combined with practical tools and strategies, including the latest machine learning techniques
In The Quantamental Revolution: Factor Investing in the Age of Machine Learning, veteran quantitative investor and strategist, Milind Sharma, delivers a comprehensive discussion of factor investing, risk premia, smart betas, multi-factor models and the deployment of ML ensembles towards monetizing alpha in the hedge fund world. Sharma draws on 30 years of industry and academic experience to bring us up to date on the cutting edge of quantitative factor investing.
You'll learn about the basics of Fama-French and obtain a practical blueprint for taming the factor zoo. This book provides a comprehensive factor investing framework designed to improve your investment process informed by an insightful industry perspective and backed up by 1st hand eye witness stories as narrated by the author.
The Quantamental Revolution also includes:
- A mature and sweeping perspective, simultaneously incorporating industry (insider) insights and academic rigor, not provided by any other reference
- Novel research backed by live performance leveraging a huge factor library
- A practical reinvention of buy-side equities using a spanning set of factors and ML enhanced smart betas
Perfect for early-career quantitative investors and analysts, traders, and market data professionals, The Quantamental Revolution is also an essential read for portfolio managers interested in improving their investment processes. The engaging anecdotal vignettes coupled with academic rigor provide the reader with an authentic front row seat to the evolution of Quantamental investing on Wall Street over the past three decades.
Front Jacket
How do you navigate the overwhelming "factor zoo" of quantitative investing strategies? Which factors actually deliver alpha, and how do you combine them effectively? As machine learning transforms Wall Street, quantitative investors are being squeezed by increasingly loud demands to deliver returns and a vanishingly small tolerance for error. Understanding which systematic strategies work, when they work, and how to implement them has become essential for all contemporary investors.
In The Quantamental Revolution: Factor Investing in the Age of Machine Learning, veteran quant and strategist Milind Sharma delivers a comprehensive guide to modern factor investing informed by three decades of Wall Street experience. Drawing on both industry expertise and academic rigor, Sharma shows readers how to tame the factor zoo through machine learning ensembles and smart beta strategies that actually work. The book provides a practical blueprint for implementing superior multi-factor models, explaining the fundamentals of Fama-French and how to implement cutting-edge ML techniques for monetizing alpha in today's hedge fund world.
The book systematically covers Enhanced Smart Betas, regime-dependent factor behavior, factor timing versus tilting, style analysis, sector rotation, and the integration of alternative data with NLP sentiment. Readers will discover QMIT's proven methodology backed by over five years of live performance data, including novel approaches to portfolio construction, risk management, and crash protection. The author combines rigorous quantitative frameworks with engaging anecdotal vignettes from his three-decade journey through the evolution of quantamental investing, offering insights not found in academic sources.
Perfect for early-career quantitative investors and analysts, traders, market data professionals, and portfolio managers seeking to improve their investment processes, The Quantamental Revolution connects academic finance with practical implementation. A battle-tested framework for generating alpha in the age of AI, the book combines a comprehensive factor library, practical use cases, and real-world implementation details to create an operational manual for quantitative trading.
Back Jacket
PRAISE FOR THE QUANTAMENTAL REVOLUTION
"My former quant has presented a panoramic treatise on the Quant/Quantamental world. A must-read for quants and a useful tool for all investment professionals."
-- Bob Doll, CEO/CIO, Crossmark Global Investments, former CIO of BlackRock, MLIM and Nuveen
"In The Quantamental Revolution, Milind Sharma--a pioneer in quantitative investing--offers a compelling framework for how quantitative and fundamental approaches are converging in modern markets. A must-read for professionals seeking to thrive in the data-driven era of investing."
-- Bob Simon, Executive Director of the Master of Science in Computational Finance Program at Carnegie Mellon University
"A lively and accessible guide to modern factor and Quantamental investing. Milind Sharma translates the intuition behind quantitative models into real-world application, showing how theory connects with practice for students, practitioners, and portfolio managers."
-- Petter N. Kolm, Professor, Courant Institute of Mathematical Sciences, New York University, Awarded "Quant of the Year" 2021 by PMR
"This is an important and timely book for professionals and students of quantitative finance. The author brings deep expertise and clear insight to a topic that is often misunderstood, offering practical frameworks with academic rigor."
-- Emmanuel D. Hatzakis, PhD, CFA, FRM, Director, Master's Programs in Finance and Financial Engineering, and Industry Professor, School of Business, Stevens Institute of Technology
"Whether you are a student, researcher, or practitioner of quant finance, this book is a must-read. Sharma, with years of investing experience through multiple market cycles, lays out how finance theory can be combined with advances in machine learning to help investors navigate the vagaries of financial markets."
--Harry Mamaysky, Columbia Business School, QuantStreet Capital
"Machine learning and data science have transformed asset pricing, spawning a myriad of new factors. This book offers a rigorous yet accessible survey of the factor-modeling literature, blending clear intuition with practical insight for students, practitioners, and academics alike."
-- Prof Agostino Capponi, IEOR and Columbia Business School, Director of the Center for Digital Finance and Technologies
"I knew it since our studies at Carnegie Mellon: Milind was going to write his book, and I am happy he did--insights into investing using current quantitative methods written by an experienced practitioner."
-- Prof Uwe Wystup, Founder and CEO of MathFinance AG
"This is an impressive and deeply practical book on modern quantitative investing--gratifying to see a former student achieve this level of professional and intellectual success."
--Prof Sanjay Srivastava, Co-Founder of the Master of Science in Computational Finance Program at Carnegie Mellon University
Author Biography
MILIND SHARMA is Founder of QuantZ Capital and its research arm, QMIT, with over thirty years of quant experience. He has led and advised hedge funds, mutual funds, and proprietary trading desks at Deutsche Bank, RBC Capital Markets, and Merrill Lynch Investment Managers (now BlackRock). His work has been associated with award-winning investment strategies. He has published and lectured extensively in addition to founding New York's premier quant society. His educational background includes Oxford, Carnegie Mellon, Vassar, UWC, and Wharton.
