Thierry Bechu

CIO, Aequam Capital Autres cours :

Schlomy Botbol

Quantitative analyst, Comgest

Brice Périn

Senior Portfolio Manager, Generali Investment Europe

Quantitative investment strategies for extracting alpha

Les objectifs du cours

The objectives of this course are to explain what Alpha is about (by opposition to beta) and what are the various form it can take when analysing and eventually replicating it through advanced methods in quantitative Investment strategies.

Plan du cours

Indicative outline:

Session 1: Definitions of Alpha, does Alpha still exist? Technics and tools
Session 2: Traditional Risk Premia (the ERP puzzle and the main equity factors)
Session 3: Traditional RP (fixed income, commodities, illiquid assets)
Session 4: Alternative RP (Definition, How alternative investments Implement it ?)
Session 5: Option strategies (vanilla)
LabClass 1: Applications
Session 6: Volatility arbitrage fund
LabClass 2: Applications
Session 7: Variance Swaps
LabClass 3: Applications

T. Béchu : Sessions 1-4
S. Botbol : Sessions 5 et 6 and Labclass 1 et 2
B. Périn : Session 7 and Labclass 3

Bibliographie

Cochrane, J.H.(2005), Asset Pricing, Revised Edition, Princeton University Press.
Hull, J. (2006), Options, futures and other derivatives, 6th ed., Pearson Prentice Hall
Ilmanen, A. (2011), Expected returns, Wiley Finance.
MacDonald R. L. (2006) Derivatives Markets, 2nd ed., Addison Wesley
Riva, F. (2008) Applications financières sous Excel en Visual Basic, 3ème éd., Economica.
 

Examen

Final exam