Slides: Systematic strategiesSystematic strategies are dynamic quantitative portfolio construction techniques inspired by the key theorems of the asset pricing. Systematic strategies are also known as “quantitative strategies”, or “rule-based strategies”, or, with abuse of nomenclature, “smart beta”, or “alternative beta”, or “exotic beta”, or “quantitative alpha”, or “factors” or “risk premia”.
In this set of slides we describe:
– Signal identification (fundamental, pricing and statistical) and signal filtering
– The Fundamental Law of Active Management and its connection to expected returns
– The construction of factor-replicating portfolios with one or more signals
– Backtesting[ See presentation ] [ Join discussion ]
2. ARPM News
Exhaustion and relief at the ARPM BootcampThis year we had a record turnout at the ARPM Bootcamp: 333 attendees from all over the world!
However, wading through 6 days of instruction, marching through networking events and the Gala Dinner, practicing on the ARPM Lab, crawling under the MATLAB Day and the Python Day, and running through all the other activities in that one fiery week of August took a toll on our crowd, see for yourself: