Arnaud Gihan

Head of iShares Asset Management, BlackRock

Aymeric Kalife

Head of Unit-Linked Guaranteed Products, AXA Group, Adjunct Professor, Université Paris - Dauphine Autres cours :

Stratégies quantitatives d'investissement pour gérer le beta

Les objectifs du cours

The aim of the course is to deeply study beta (passive) investments across asset class, and be able to design quantitative investment strategies to monetize views on factors (macro, curve and style).
The course will split in across equity and bonds to finish with a multi asset allocation approach.

Equity beta portfolio strategies part (Arnaud Gihan)
Deep dive into index construction, ongoing rebalance and expected returns. Master the relationship between the several linear delta one instruments (Total Return Swap , synthetic , Futures, Div Swap and ETF). Analysis of nonlinear indices (short, leverage, currency hedging) with associated risk measures. Study of Model based factor strategies. Leverage analytics from Bloomberg in order to manage portfolio sensitivity to external factors, backtest as well as stress test. The overall goal would be managing those beta exposures to extract value by designing quantitative strategies isolating risk premia. The strategies will be outcome oriented under constraints (target volatility, income, diversification).

Bonds beta portfolio strategies part (Aymeric Kalife)
Monetize the expected changes of the yield curve in order to dynamically replicate govie bonds performance used as the benchmark through customized quantitative bonds portfolio investment strategies, which involves understanding the bonds drivers and using duration metrics.

Plan du cours

Indicative outline:

Labclasses 1 to 3: Trading Game over 6 weeks (team work)

Session 1: Beta within Portfolio Management industry
LabClass 1: Portfolio Construction under constraints

Session 2: Deep Dive of Delta One instruments: Risk and Pricing of Cash and Derivatives instrument
LabClass 2: Pnl tracking and rebalance after 3 weeks

Session 3: Factor investing in equities
LabClass 3: Presentation of the strategy

Session 4: Factor investing for bonds
LabClass 4: Factor investing for bonds 

Session 5: Factor investing for alternative betas
LabClass 5: Factor investing for alternative betas 

Session 6: Multi-assets portfolio
LabClass 6: Multi-assets portfolio


Ang, A. (2014), Asset Management: A Systematic Approach to Factor Investing, Oxford University Press.
Cochrane, J.H.(2005), Asset Pricing, Revised Edition, Princeton University Press.
Ilmanen, A. (2011), Expected returns, Wiley Finance.