Quantitative Investment Strategies

Challenges, implementation and perspectives

Course objectives

  • Understand the principles and stakeholders
  • Control the construction and implementation of quantitative strategies
  • Understand the evolution and perspectives of quantitative strategies

Content and challenges of quantitative strategies

  • From Markowitz to Highbridge: history of the quantitative strategies
  • Definition and typology of quantitative strategies
  • Producers and users of quantitative strategies

Case study: Analysis of a simple quantitative strategy

Construction et implementation of quantitative strategies

  • Identification of the driver of performance
  • Process validation of a quantitative strategy
  • Implementation issue and risks control

Case study: Building a strategy based on the 'end of month effect' in equity markets

Perspectives of quantitative strategies

  • Regulatory framework of quantitative strategies
  • Limits of quantitative strategies
  • Using artificial intelligence and technology in quantitative strategies
  • Towards a new funds management

Case study: Quantitative strategies and Smart Beta Indexing

Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. In June 2014, at Natixis IM, he became manager of the Portfolio Research & Consulting team, which works only on portfolio analysis intended for professionnal investors.

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