Conversations with Frank Fabozzi, CFA, Featuring Lev Dynkin and Arik Ben Dor

• The rise of systematic credit investing: Dynkin and Ben Dor trace why quantitative approaches have become increasingly viable in fixed income markets and what that shift means for portfolio construction today.
• Cross-asset investing and portfolio design: They examine how drawing on both equity and credit market information can sharpen investment decisions and improve portfolio outcomes.
• Measuring risk in credit portfolios: The discussion explains how Duration Times Spread (DTS) changed the way investors quantify and manage credit risk.
• From research to implementation: Strong signals and backtests are necessary but not sufficient: the speakers address what separates a viable strategy from one thatactually worksin practice.
• Liquidity, model risk, and market stress: Lessons from past crises underscore why robust portfolio construction requires accounting for liquidity constraints and the limits of quantitative models.
• The future of quantitative investing: Dynkin and Ben Dor consider how AI, machine learning, and integrated equity-credit portfolios may reshape systematic investing over the next decade.

In this episode of Conversations with Frank Fabozzi, CFA, Lev Dynkin, Managing Director at Barclays Corporate and Investment Bank, and Arik Ben Dor, Head of Quantitative Equity Research at Barclays, draw on decades of work at Barclays' Quantitative Portfolio Strategy Group to show how investors can combine fixed income and equity insights into more effective systematic strategies. They cover the evolution of quantitative portfolio construction, cross-asset research, and what it takes to translate rigorous research into real portfolio decisions.

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