LQG 2025/03/10 – 18:30 – Anatomy of a bear (market) – Ross French – IP *OLO* Hybrid

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Studying Bear markets in search of consistent equity drawdown diversification identifies several persistent characteristics which can be exploited using systematic derivative and/or long-short strategies

2025/03/10 – In-Person and On-Line

Anatomy of a bear (market)

Seminar by Ross French

The LQG is very grateful to our hosts of this seminar.

Traditional assets do not consistently diversify equities and all studied traditional asset classes exhibit overlapping drawdowns with equities under certain macro regimes.

In search of more consistent equity drawdown diversification we study bear markets, and identify several persistent characteristics which can be exploited using systematic derivative and/or long-short strategies to hedge said drawdowns. Utilising a largely unstudied dataset of bank administered quantitative investment strategies (QIS) we identify a set of strategies which align with the observed bear market characteristics and that can thus provide consistent equity drawdown diversification; we then highlight these QISs’ utility from an asset allocation perspective.”

About the Speaker

Ross French

Vice president, Quantitative Investment Strategies
Nomura

“Ross French is a vice president in the Quantitative Investment Strategies group at Nomura. He is the lead structurer for D1 equity strategies in EMEA and responsible for the design, construction and implementation of cash equity and intraday trend solutions.

Prior to joining Nomura in 2023, Ross was a senior manager in the Index Research team at FTSE Russell for over five years, where he worked on factor, minimum variance and ESG equity index R&D. Prior to FTSE Russel Ross was a director in the Market Risk Control team at UBS Asset Management.

Ross is a subject matter expert in alternative risk-premia, portfolio construction and risk management and has had a number of research articles published in leading peer-reviewed financial journals; in particular he has contributed to the literature on factor investing and risk modelling. Ross earned a BSc in Mathematics from Royal Holloway, University of London in 2010 and a MSc in Data Science from the University of Glasgow in 2023. He has been a CFA Charterholder since 2014 and completed the CQF qualification in 2017. Ross has served on the council of Inquire UK since 2022.”