Ruy M. Ribeiro

Quantitative Investment Strategies (Investimentos, MBA Level)

Citation

“All investors are quants, whether they are fundamental investors poring over company-specific financial statements or high-frequency algorithmic traders analysing terabytes of tick data: it is just a matter of degree.” Andre Ang, Blackrock

Introduction

This course is aimed at the quantitative analysis of investment strategies and asset managers. My goal is to provide you the tools necessary to conduct independent applied research on quantitative strategies, portfolio construction and performance analysis. Hopefully, you will be able to critically read research published by sell-side on the related topics and publications in practitioner journals. This is a new course so please forgive me if I do not follow the below exactly.

Evaluation

Your final grade will be based on an unknown and risky combination of a) midterm exam; b) weekly group projects; c) final project; and d) presentations.

Required Reading

In the first half, we will follow BKM and a few chapters from Cochrane’s book. In the second, we will loosely use the other books below (Campbell, Pedersen, Ilmanen) and papers to be added to the Reading section on the course site. My slides will contain additional materials.

Class Schedule

See your calendar on for actual dates. Dates are based on my current availability. It may change without early notice, but hopefully not.

Presentations

Each student will present a paper of his choice from a long list of topics related to the materials seen in class: Betting Against Beta; Seasonality in Returns; Accruals and Stock Returns; Momentum Crashes; Volatility Targeting and Risk Control; Buffet’s Alpha; Risk Premia in Volatility Markets; Relation between Strategies in Credit and Equity Markets; Risk Parity in Asset Allocation; Asset and Liability Management; Fundamentals of Commodity Returns; Enhancing Value in Equities; Bubbles; FX Strategies; Crypto-finance; etc.

Final Project

Each group will need to propose an investment strategy for a selected group of assets to be defined for each group based on the ideas we discussed in class and a suggested research paper.

Tentative Schedule

All sessions are at least 3 hours long. You start your weekly empirical project in the last hour of the class and have to submit the part of the project before leaving. I will remain in class until you finish it! Please don’t take too long…