YouSaid · the spoken record

Savita Subramanian

lines on the record: 97
first: 2024-05-16
most recent: 2024-05-16
sittings or episodes: 1
sources: podcast

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“I don't know. I mean, one of the things that I've been looking at is just active share. The average active fund, and it's gotten very like the average active fund has gotten closer and closer to the benchmark over the last five years.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“here if everybody hates this i use that as an informal gauge of you know what what if we're getting a lot of pushback on a call i feel you know stressed out because everybody's yelling at me but i also feel better about our call um but look i think there are lots of tools you can use so one one tool that i really like is looking at positioning of the buy side because what we found is especially today there's a lot of groupthink there's a lot of career risk driving investment decisions when”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“A lot of big Right. No, it's interesting. This is one model that has still kind of retained its efficacy. In fact, it's become more effective since the global financial crisis. If you just look at its track record of predicting positive or negative returns. So it's kind of interesting to see that just this old kind of hoary chestnut of a model still works exactly the same way it always did in kind of sussing out groupthink, hurting, and basically doing the opposite. That's why it's one of my favorites”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“I inherited this. I've looked at it to see whether it makes sense to use different leads or lags, whether there's information content in the actual distribution of strategists' numbers, but I think it's just kind of, it's a simple tool that just works because of the fact that what we were talking about, just the fact that sentiment, when everybody thinks one thing, the market's going to do the opposite of whatever they're expecting.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Two sides to make a market. That's the fascinating thing about markets, isn't it? There's always somebody that's willing to sell at a certain price and there's always willing, there's somebody that's willing to buy.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yes. Meme stocks and whatnot. Yeah, no, you're right. So you need that sort of institutional knowledge, that domain knowledge from the super old investor. Right. And then you need this whole cadre of young investors that are kind of moronic but also are willing to step in and take a lot of risk. So what you're saying.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Wall Street Classic. Yeah. And maybe that means that we should only have the tales of the distribution, like the really old investors and the really young investors.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, so this is a cyclically adjusted PE ratio. And I think that that's exactly what you want to pay attention to when you're thinking about the long term. Unfortunately, nobody has the luxury of picking stocks for a 10-year period anymore except for in our personal accounts. But professional money managers have basically been trained to believe that price predicts price, and that has worked for a really long time. But I feel like there aren't any value investors left out there”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“It matters. And in fact, one of the most powerful market timing models, not over the next year, but over the next 10 years, is looking at just a price to normalized earnings ratio for the S&P 500. That has explained 80% of 10-year returns. That's a super high R score.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“I mean, even in equity, it's one of the best performing quantitative factors has been momentum for a really, really, really long time. And one of the worst performing factors has been valuation. So we're now in an environment where all the 45-year-old portfolio managers out there have worked their entire careers in these momentum-fueled markets, and they've been trained to believe that valuation doesn't matter. And I think that's wrong because valuation does matter. You know, it matters over a longer time period than maybe just the next day or two.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, so trend following. I mean, I worry because I think we've been in a market where trend following has worked remarkably well for at least a decade.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“It's yes, exactly. So when it works well when it's accompanied by a fundamental reason. But the idea that you can predict price using price to me just seems to flaunt some kind of basic financial understanding.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Snapshot multiples are not I think price to normalized earnings is useful. But you know, the other data set that I just wonder about is flows.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Who cares? Exactly. Maybe we pay attention to Mrs. because those guys really screwed up and couldn't beat their made up numbers. So, you know, I think that there are different factors that tend to at some point work and then everybody figures out that they work and then they start getting gamed. I mean, quants have basically made markets that much more efficient by or maybe inefficient. I'm not sure what the right way to do. No, I think I agree with you.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“I mean, a lot of it is just noise or corporate management trying to game the system. And I'll give you an example. So let's talk about earning surprise, right? Earning surprise is something that should work, right? If a company beats everybody's expectations on earnings, it should drive monstrous performance, especially if it's a big beat. But what we've all realized over the last 20 years since Reg FD in 2001 is that management games their numbers and then they beat these made up numbers systematically and that surprise factor no longer seems to be as effective as before we had this sort of massaging of consensus estimates.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, so I think when you look at, I mean, one of the things that we've started looking at is just like kind of non-financial data. So, you know, not fundamental data. And you're making a face, as you say.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“For any sentiment measure, exactly. So there are times when you really, really, really want to pay attention to it, and then there are other times where it gives you a little bit more of a muddled signal.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yes, it's often, I mean, really it works the best at extremes. So if you're in some kind of neutral territory, it's not as informative.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Is this yes? Is this a good value stock or is it a value trap? So those are some of the things that we test. And then from talking to clients, we get ideas around should you have a regime indicator? Should you think about what regime the market is in to train your framework on what types of attributes to look for? attributes right now are scarce versus abundant and where will investors pay up for scarcity in the current environment so you know a lot of these are really born from behavioral finance and thinking about how people you know look for opportunities whether they're going to be a bargain hunter or whether they're going to be risk averse and look for unassailable growth but but it's interesting because i think that my best ideas to this day have come from talking to our really smart clients Out there on the field.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“There's an angle that I haven't thought about, and then what I like to do is try to recreate that framework in a model, a replicable model, and then test it to see whether it's something we're throwing into the mix or not. And a lot of my work is just looking at does this, you know, this indicator, like a PE ratio, right? We all talk about PE ratios and how you want to be, you want to buy low PE stocks and sell expensive stocks. But turns out the PE ratios sometimes predict performance and sometimes they don't.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yes. Stay at home. Keep your face in the computer. You're good. Once you get into the office, that's done. Game over. But no, but I think that where I get my best ideas is from talking to super smart people like you, like our financial advisors, like our hedge fund clients, our long-only investor clients, pensions. Everyone out there who's been a professional investor for a while has some edge that is, you know, otherwise they would have been fired or left the industry. But I found that people's edges are different from one another. So I feel like every time I talk to somebody new,”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah. So my day is never the same. And I'm sure it's like this for you. I mean, most people have kind of things thrown at them that are, you know, out of the ordinary. And I can't say that, you know, I walk into the office and I sit down at my desk and I start chugging away at the computer, even though that's what I secretly want to do. That's what work from home is.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Exactly. So you want to buy a value stock when its price decline is starting to slow down, but estimate revisions are still deeply negative. So you're in this environment where everybody hates risk and they're downgrading, downgrading, downgrading, but the market's telling you, okay, things are actually not as bad.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“It is. It's a spectacular buying opportunity. I mean, there's one thing that I've looked at that seems to be a good leading indicator of when you want to start stepping in, which is, I mean, momentum, right? There's a reason that there are so many momentum investors because the market usually figures out whether things are kind of getting worse or getting better. One of the models that we've used to determine whether something is actually cheap and attractive or cheap and a falling knife is looking at earnings revisions coupled with price momentum. And what we found is that when stocks are going lower, but analysts haven't taken down their earnings, so it looks cheap, but it's only because the sell side is late to react. That's when you don't want to buy it.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“I said you buy here. You pick your stocks, but you buy here. There are going to be a lot of really high quality companies that have been crushed by fear and loathing and just heading for the hills. This is an opportunity that we're probably going to look back on and want to buy, wish we'd bought these companies.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“But yeah, I think that it was one of those moments where I think I went on TV at some point and they said, you know, do you buy hair or is there more to go? Yes.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Event that we anchor our memories to is this horrible credit crisis that derailed the banking sector that crushed the consumer and now we're just assuming that's going to repeat over and over again.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Here we are again. I know. I know. It was an interesting time. And that's right when I got the job as strategist. So it was really interesting because I was looking at this model, which was my holy grail, right? Out of everything we'd backtested, this had the best predictive power over the next 12 months, highest r squared. And it was telling us to back up the truck on equities. It was as low as it had ever been since the 1980s. And I remember, you know, thinking, oh my gosh, is this a data error? And I like triple, quadruple check the data, but it was, you know, really a prescient signal that a lot of bad news was really priced into the market and it was more likely to move higher. And since then, it hasn't dropped to 43%, but it's been pretty low. I mean, I think we've been in this market environment since the GFC where global financial crisis, where folks have just been worried. And the most recent”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Everything was all happening. The US just got downgraded, and that was when that indicator plummeted to 43%. Wow. which was exactly the right time you wanted to buy equities i remember hinted money since then”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“We, yeah, so here's the thing. I mean, if you think about just how much this number changes over time, so it's been, you know, back in 2001, strategists were telling you to put about 70% of your money in stocks. But then, you know, just in, I think it was 2012, coming out of the financial crisis, you know, after one round of QE, Europe was in a recession, everybody was depressed. Brexit.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, he was on to something, and he probably created this framework. I don't recall, but I mean, I still have financial advisors sending me these Bob Farrell quotes and like, bring it. This is great. He was a legend. Right.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“That was the punchline of this indicator. And I thought that was so fascinating. But then when you peel back the onion, you realize there's a reason for it. It's because, you know, when everybody's looking at all this data and it all seems terrible, chances are that information's priced into the market and it's going to surprise in the opposite direction.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“And I'm sure he's told me, but he may, yeah, we'll look it up in the annals, but it's been around, it predates Rich Bernstein. So basically this model is just a simple straight average of all the Wall Street strategists recommended allocations to stocks in a balanced portfolio. So if you go to your broker and he or she tells you you should put 60% in stocks or you should put 40% in stocks, we take all those numbers from the different houses and we average them together. We've been doing this every month since 1980. And it turns out to be the best contrary indicator. Oh, really? I thought you were going to go.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“It's a very cool model, and I actually was lucky enough to inherit it from my former boss, Rich, who I think inherited it from his former boss. So it's been around at Merrill for, you know, since the 80s.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Think you're smart or dumb based on that number? And so I said, okay, let's use all these quant models that I've been building for the last 10 plus years. And after testing all of them, it turned out that there was one model that was better than everything else predicting the next 12 months of S&P returns. And that was a behavioral model.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Right, right, right, right. No, I think that that's the part of it that I find the most interesting is the idea that a stock price doesn't really have, you know, the fair value of an investment instrument is somewhat arbitrary, right? And then it's supply demand, it's perception, perception is reality for many of these companies. So, I mean, I think the day that I realized that behavioral finance Deserves a very prominent place in the arsenal of models that we all use was when I got the job as equity strategist and I realized that probably the most important number that I publish is our year-end target. It's kind of a silly number, but people are going to.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Right, right. For the rest of your life. It's so rich to quant strategy, now equity. It's just been a dream come true. Yep.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Right, exactly. So that was actually my internship during business school. So after working at Scudder, I realized I didn't really have the foundations for financials. I didn't understand, you know, kind of how to parse an income statement. And so I went to business school. I decided to go to business school, get that formal education. And then in the year in between year one and two of business school, I did my internship with Merrill Lynch with a gentleman named Rich Bernstein. And you know him. I know Rich. And that was the beginning of a wonderful career. But it's sort of strange. I don't know whether to feel proud or depressed about this, but I am the only person I know from business school. I graduated Columbia 2002, and I'm the only person I know who stayed in the same job.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Wherever they get a job, they don't make a lot of cash. And meanwhile, I was doing, you know, I was working at this financial services company and I was really interested in what they were doing. It was kind of like philosophy meets mathematics because finance to me is sort of a fuzzy science with no answers, very logical. So it's got this math angle where it's all numbers. But then there's this behavioral angle and psychological angle where it's kind of a fun problem to tackle. So I realized I could make a lot more money.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“And I got a job at Scudder doing something really random. I think it was, I think I was working as a technical writer on their software application, but I was just kind of bouncing around and looking for a place where I could earn a steady living and bide my time before I went to grad school. And then I started to realize that philosophers, professors of philosophy end up having to live in really random places in the country.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“I had no idea when I graduated what I wanted to do. In fact, I was convinced that I wanted to be a professor in philosophy, and I took the GRE and all those tests and I applied and I was going to get a PhD in philosophy and I did all the work. But I realized I had to support myself while I was waiting to hear back. So I got a job in finance. I moved to New York because I'd always wanted to be a New York. New York was my destination.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“We'll allow it. It's three years. We'll allow. Right. Exactly. Yes, you know the drill. So I was a rebel and I mean, the reason I did mathematics and philosophy was that I have a very short attention span. So I found myself getting kind of bored with my math problem sets, and then I could shift to philosophy and then go back and forth. So it was actually pretty ideal for me.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Think that the only legitimate careers were really in the sciences or, you know, kind of practical applications. Today they've completely accepted me for who I am as the dark art of finance person. But back then.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“In Silicon Valley, they were, you know, early days in Mountain View before it was Google Acted. Crowded. Exactly. Before there was traffic. But I think that my parents, you know, they came here for us to have a better life, to make some money, you know, not, you know, to basically live the American dream.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, I mean, there's a reason it's a cliche. It's pretty much the norm. I mean, it happens like me and everybody I know who's a child of an immigrant from India. So it's kind of, I mean, I think it was, you know, it was the 70s. It was unclear how anybody was going to make their living. My parents were both in high tech. My dad was an engineer. My mom was a software person. Oh,”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“And then I realized that there are basically no girls in any of those classes. Well, back then, maybe not more today. Not now. Yeah. Which is a huge relief. But I also realized that I love to write. I love to read. And I kind of wanted to have some sort of a liberal arts aspect in my career. I took a class called Existentialism in Film and Literature. It's like one of these Berkeley classes”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source
“By the idea of philosop Yeah, well, there was no career planned, really. So at Berkeley, I ended up changing my major a few times. Well, I started out as an electrical engineering computer science major.”
2024-05-16 · Masters in Business · Savita Subramanian on Equity and Quantitative Strategy · IDENTIFIED FROM THE TRANSCRIPT · source