YouSaid · the spoken record

Daniel Mahr

lines on the record: 67
first: 2025-11-20
most recent: 2025-11-20
sittings or episodes: 1
sources: podcast

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“Understand precisely how these models are working, a common epithet that gets thrown at us in the Quant Investment Management Space is that we're using black boxes. That MDT that is not the case. We like to position our investment strategies as being a glass box. There's a lot of machinery on the inside, but we can see into it. We can see how it's working and understand what's driving all of the decision making on a day-to-day basis.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Are a pair of very related issues in the data science space, which are overfitting and underfitting. Obviously, there are two sides of the same, coin. It's easy to not build a model that's overfit just by having a very simple model, but that very simple model is going to leave a lot of explanatory power on the table. It's going to be underfit. That's a problem that gets less press than overfitting, but is a significant one nonetheless. Figuring out what techniques can allow us to strike the right balance between having a model that's too complex versus having a model that's not complex enough is something that we have put a lot of thought into and evolved significantly over the decades. Our view in the machine learning space is that transparency is exceedingly important.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“What differentiates us at MDT is the use of machine learning, AI and machine learning are very hot topics right now. I read academic journals. I see what competitors in the space are publishing. And there's a lot more enthusiasm than there was five years ago for competitors in the space to be adopting or at least researching using some of these technologies. But that said, at MDT, we've been using these machine learning tools since 2001. So we have a 24-year head start on someone who is new to the game. We have learned a tremendous amount over the last 24 years on what the advantages, but more importantly, what the potential pitfalls are of using these powerful, but also Of finicky and sometimes misled algorithms in a noisy data space like forecasting stock returns.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“In a world with much more computing power than we've had in the past and more people able to look at these types of strategies, how do you think about what differentiates your approach and how you think about it from other participants in the market?”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Differentiated alpha drivers gives you that opportunity to have a portfolio where you'll have a fighting chance at performing well no matter what market environment comes.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“When you think about how do you construct a portfolio that is going to be able to perform well in lots of different market environments, there's two approaches to doing that. One is to be able to predict what the market environment is going to be with a fair degree of accuracy and then tilt your portfolio ahead of time to be in the right stocks, the right sectors at all times. global macro crystal ball approach. There are investors who do that. It's not in our wheelhouse as quants. The other approach is very much on the other end of the spectrum of leaning on diversification, of not having reliance on any one company, any one sector, anyone type of stock to be able to drive your portfolio outcome and to diversify across companies with different”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Succinctly, what we believe is that a disciplined, quantitative approach to stock picking can lead to an analytical advantage that will help us generate superior portfolio outcomes in the sense of generating more all-weather type portfolio returns.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“How much do you smoke? How long have you been smoking? That won't be relevant of people who don't have that characteristic. Translating that back to the stock world instead of asking about risk factors for longevity, we're asking about the characteristics of companies. And depending on how those questions are answered, the lines of questioning will evolve based on what's relevant of those types of companies.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“So, a decision tree, these are things that people have probably seen. It's just a series of yes and no questions about characteristics that lead to a forecast or an outcome. A common place that they're used is in an insurance setting. In the life insurance industry, you may want to build a model to predict longevity. Decision trees are often used in that space. The first question might be on age. Depending on how you answer that question, whether you're above or below a certain age, there will be differentiated questions that are asked to help provide the most precise decision making as possible for folks who are above the age of 65, the risk factors tend to be different than for people who are under the age of 65. If you're a smoker, there will be questions about”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“In 2002, we had made a big transition at MDT. For the first decade, the strategies were traditional factor tilting strategies. There was a formula that used a small number of characteristics and the portfolios would tilt toward them. Those strategies generated a pretty good outcome, but it was lumpy. As with many quants, the strategies had a difficult time in 1998, 1999 as value and quality was not well rewarded by the market. The firm started looking for a differentiated approach, something that wasn't reliant on the factors always working because the portfolios were always tilted in the same way. That led us to the decision tree approach that we still use today, albeit in a much evolved way from where we started in 2001.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“One thing that people sometimes miss about Kwan is that there's a lot of diversification in terms of quant strategies. There are certainly folks out there who are still applying strategies that are very similar to what was applied in the early days and the early types of quant strategies. But over the decades, there's been such an explosion in processing power, in data, in algorithms that marry those two things, the types of strategies, the sophistication of strategies that can be run has really exploded over the years, aided by those tailwinds of processing.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“I joined a firm called MDT Advisors in 2002 as a junior analyst. MDT was a pioneer in the quant investing space. They had been building a strategy since 1991. Very early practitioners of Quant Investing. I worked closely with the founder of the strategy for a number of years. We were acquired by a firm federated investors now Federate Hermes in 2006. I took over running the team when the founder retired in 08.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Experience of being invested in those IPOs made me convinced that I was a great technology investor for as much as those hundred share allocations led me to some nice wins in my portfolio. I would then translate it into some giant losses by straying from the original thesis and believing that I was an expert in something that I was certainly not. That experience was also very formative in my appreciation of a more disciplined systematic, rigorous approach to investing which I found in the quant space.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Period of time, you're flipping hot IPOs. There's a lot happening around the internet, a lot of excitement. You think about leaning into that compared to leaning on the quantitative background and going into finance that way?”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“In terms of my time, I managed to get a number of allocations to those hot IPOs. You'd get a hundred shares, but as a college student, that seemed like great money. I studied computer science, was really interested in being a software developer. As I pursued the internships, I realized what was really important to me was that I found the industry and the work and the product to be exciting. I had a summer internship where I was building mobile internet apps, which you might think would be exciting until you remember what a cell phone was like in the year 2000. As I progressed, I realized that the quant investing was a field where I'd be able to blend the investment markets with my software background. And I haven't looked back.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Was a kid who loved numbers. I'm old enough that my parents subscribed to a physical newspaper every day and I would pour through every section that had numbers, whether it was sports or business. When I get to college, I had my first experience with investing. I was a freshman at Harvard in 1998 going into 1999. I came across a realization that there was an interesting opportunity to be had, which was that there were a lot of IPOs in that market environment, the dot-com bubble. They would go up 100%, 200% or more on the day that they priced. And there were a small number of investment firms that would get allocations to these IPOs and they would offer them first come, first serve. As a college student, I had a faster internet connection than just about anyone else in the world. And I had a lot of flexibility.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source
“Our head of trading would come to me every day. We bought a stock that was down 70 or 80 percent and say, damn, we need to override this trade, the company's CEO just resigned in disgrace. Damn, this is a one product biotech company, and they just missed their target. It looks like the whole company's got nothing. We have to override these trades. We can't do them. That's when the light bulb goes off. This is precisely why this strategy works, is because even quantitative investors who are intentionally trying to buy these stocks find it hard to overcome the human emotions involved with buying a bad story.”
2025-11-20 · Capital Allocators · Daniel Mahr – Glass Box Quant at MDT Advisers (EP.472) · IDENTIFIED FROM THE TRANSCRIPT · source