Quantitative Equity Investing

Theme

Key Topics

Introduction

Use of Quantitative Equity Management

Linear Regressions

Covariance and Correlation, Linear Regressions, Multivariate Regression, Quantile Regressions, Regression Diagnostic, Robust Estimation, Classification, Regression Trees

Time Series

Stable Vector Autoregressive Processes, Integrated and Cointegrated Variables, Number of Lags, Autocorrelation, Distributional Properties of Residuals, Nonstationary VAR Models, Canonical Correlations, Principal Component Analysis, Eigenvalues of the Companion Matrix, Nonlinear Models in Finance, Causality

Factor Models

Static Factor Models, Principal Components Analysis, Factor Analysis, Approximate Factor Models of Returns, Dynamic Factor Models

Factor Construction & Analysis

Factor-Based Trading, Developing Factor-Based Trading Strategies, Risk to Trading Strategies, Properties of Factors, Sources for Factors, Analysis of Factor Data, Building Factors from Company Characteristics

Cross Sectional models

Evaluation of Factor Premiums, Factor Models, Performance Evaluation, Model Construction Methodologies, Backtesting

Portfolio Optimization

Mean-Variance Analysis, Risk-Free Asset, Portfolio Constraints, Expected Return and Risk, Estimating the Inputs Used, Other Risk Measures, Robust Mean-Variance Formulations

Bayesian Techniques

Shrinkage Estimation, Black-Litterman Model

Transaction Costs

Taxonomy, Liquidity, Market Impact Measurements, Forecasting and Modeling Market Impact, Incorporating Transaction Costs, Integrated Portfolio Management

Algorithmic Trading

Optimal Execution, Impact Models, Popular Strategies,

Faculty profile

FEES for Corporates

Based on the syllabus, contents and other requirements for the corporate training, scope with detailed inclusions and exclusions along with the fee will be shared.