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Selected articles linked to quantitative finance
According to Christian Lopez, Head of Research at CPR-AM, the four largest families of alternative indices are low volatility/minimum variance, equally-weighted, indices weighted by micro or macro fundamentals and maximum diversification (...)
Global Macro managers explicitly follow defensive strategies: short exposure to equities (around -20%) and long exposure to the US sovereign debt. On their side, CTAs managers are more aggressive...
SIG has chosen to partner with London based Aspect Capital and is seeking the sort of returns generated by Aspect’s Diversified Programme – the Company’s flagship investment strategy which caters primarily to large sophisticated institutional investors and has a 12 year plus (...)
Cyrille Collet, Christian Lopez and Alexander Decoene from CPR AM show us how to make static combinations of factors to create a model for stock picking on a given universe ...
According to Jean-Louis Nakamura, CIO Asset Allocation and Jerome Teiletche, Head of Systematic Strategies and Alternative Portfolio Construction at Lombard Odier, the Risk parity approach is a growing interest to pension funds (...)
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