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Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
Manage episode 500912330 series 2359799
In this episode I speak with Jeffrey Rosenberg, Managing Director at BlackRock where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the Systematic Fixed Income team.
In the first half of the conversation we discuss the history of quant fixed income. Specifically, its evolution within the halls of sell-side institutions and how solutions were shaped by demand for underwriting, securitization, and derivatives.
We then make the leap to the buyside, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly dive into the details, discussing topics such as: why factor investing exists predominately in the credit space, why characteristic specificity within the fixed income space is so important, why quant fixed income needs more PMs but fewer researchers than quant equity, how ETFs changed the liquidity landscape, and whether the equity pod-shop model is possible for fixed income.
What ultimately becomes clear, through both explanation and example, is that while the terms and ideas of systematic fixed income will be familiar to those in the quant equity space, the Devil lies deeply in the details of implementation.
I hope you enjoy my conversation with Jeff Rosenberg.
113 episodes
Manage episode 500912330 series 2359799
In this episode I speak with Jeffrey Rosenberg, Managing Director at BlackRock where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the Systematic Fixed Income team.
In the first half of the conversation we discuss the history of quant fixed income. Specifically, its evolution within the halls of sell-side institutions and how solutions were shaped by demand for underwriting, securitization, and derivatives.
We then make the leap to the buyside, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly dive into the details, discussing topics such as: why factor investing exists predominately in the credit space, why characteristic specificity within the fixed income space is so important, why quant fixed income needs more PMs but fewer researchers than quant equity, how ETFs changed the liquidity landscape, and whether the equity pod-shop model is possible for fixed income.
What ultimately becomes clear, through both explanation and example, is that while the terms and ideas of systematic fixed income will be familiar to those in the quant equity space, the Devil lies deeply in the details of implementation.
I hope you enjoy my conversation with Jeff Rosenberg.
113 episodes
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