Marco Dion & team J.P. Morgan Cazenove
The buy side says: “Marco Dion and his team provide practical and relevant quant research.”
Returning to the top spot after a year in second place, the J.P. Morgan Cazenove pair under Marco Dion, 34, are unmatched in “mixing recent academic research, which they follow closely, with practical tools designed specifically for portfolio managers,” as one client attests. In June the analysts published a report, “Company Guidance: Can It Add Value to a Quant Process?,” explaining a new way to use company guidance, especially how to filter out irrelevant noise and zero in on the most informative market signals — such as earnings momentum and price momentum before and after earnings announcements, and the degree of stock price movement in reaction to unexpected earnings results — to improve alpha and decrease volatility. “It’s good science with believable hypothesis-testing,” avows one adherent. At the same time, the quant duo espoused the benefits of selling volatility, particularly for derivatives traders. “The structure of their modeling and their ambition to find new and interesting ideas have proved extremely valuable for our returns,” cheers another devotee.
