Slides on systematic strategies

(Last Updated On: September 16, 2016)
Latest slides on systematic strategies

All from Attilio Meucci’s world who has some great example code for trading risk analysis

This is the major link you want:




In this issue you will find:
1. ARPM Education
Slides: Systematic strategies
2. ARPM News
Exhaustion and relief at the ARPM Bootcamp
3. ARPM Pointers
3.1¬†“Did you know?”
3.2 Featured white papers
3.3 Quant discussions


1. ARPM Education
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
РBacktesting[ 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:
ARPM is a proud sponsor of the one-day workshop
New Themes in Finance, Insurance and Energy Markets
September 22nd, 2016
Università del Piemonte Orientale, Department of Economics and Business, Novara (Italy)

[ Website ]  [ Program ]
Registration is free but mandatory. To register write to manfin@uniupo.it

3. ARPM Pointers
3.1 “Did you know?”

  • The Arbitrage Pricing Theory can be derived by assuming a linear factor model for the stochastic discount factor¬†[Comment]
  • Two jointly t-distributed random variables cannot be independent ¬†[Comment]
  • An arbitrary European-style option can be written as a portfolio of call options with the same expiry and different strikes [Comment]
  • The sample mean and sample covariance are very sensitive to the inputs, and thus are¬†not robust estimators¬†[Comment]
3.2 Featured white papers

The Advanced Risk and Portfolio Management Research Paper Series on SSRN collects rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us.
Featured white papers:

3.3 Quant discussions

View our technical discussions on the Advanced Risk and Portfolio Management Group on LinkedIn. Join to contribute papers, code, or thoughts. We have a no-advertisement policy. Featured quant discussions:

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