As an equity quantitative analyst, you have recurring positioning analysis tasks. Your most effective approach is to model your object of study (usually stocks, portfolios or indexes) and decompose its behavior into common risk factors. You can create your own “factor model” or use existing models.(...)

As a portfolio manager, of a mutual or dedicated fund, you have to regularly report the performance of your fund on a specific time frame (monthly, quarterly, yearly, etc.). One of the common tools is the performance attribution analysis, which is a framework that allows to isolate the effect(...)

As a quantitative researcher, your main goal is to find new financial edges. In this article, we will show an overview of the pipeline for designing alpha-generating investment strategies, with associated python code as usual. Here are the main steps that will be presented. Investment rationale(...)

Imagine you are an European insurer. One of your funds is an equity portfolio of EMU stocks. Under Solvency II framework, you might want to reduce your Solvency Capital Requirement (SCR) thanks to the use of derivatives to hedge some of your equity risk. However, due to your size, the only(...)

As a portfolio manager or as a portfolio construction analyst, the most usual way to manage a fund is to elaborate a Strategic Asset Allocation (a.k.a. “SAA”), that is reviewed on a mid or low frequency, on which PM or researchers add their tactical views, i.e. a Tactical Asset Allocation (a.k.a.(...)

While portfolio optimization is well known in the Equity space, in the Fixed Income industry, the subject is less discussed although it has very specific needs and it can be more complex compared to its Equity counterparts. One key difference between the two of them is the trading lot size. In(...)

Rebalancing portfolios is an important event in the life of the portfolio manager, whether we talk about the timing or the degree of the rebalancing, i.e. the portfolio turnover, this is a sensitive operation. As well as the first one is important to avoid bad timing market effects, the second one(...)