Systematic Investments


In this course we cover concepts, models and quantitative methods used by modern asset owners (from institutional such as pension funds, sovereign wealth funds, hedge funds, to retail investors), to allocate their capital across a variety of asset classes and investment strategies. We define quantitative methods for investing or ?systematic investing? as a collection of algorithms or models based on academic research and/or historical evidence used for investment decisions, by contrast to traditional discretionary investment strategies which follow ad-hoc decisions by portfolio managers. The course covers macro financial assets such as country equity, government bonds, currencies, commodities and micro-level assets such as equities and credit securities, all traded in public markets. The course will deliver a theoretical and practical learning experience, with students learning research methodologies while being exposed to a variety of topics in systematic investment management. The course is organized as a series of lectures, group homework assignments and business cases discussed in class and speaker sessions, working towards delivering a coherent learning experience.

General characterization





Responsible teacher

Afonso Confraria Varatojo Caldas Januário


Weekly - Available soon

Total - Available soon

Teaching language





SAR - Scott A. Richardson, 2022, Systematic Fixed Income: An Investor's Guide.

LHP - Lasse Heje Pedersen, 2015, Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined. 

Teaching method

Lectures, group homework assingments and business cases, and speaker sessions. 


Evaluation method

Class participation 20% x7

Assignments 40%

Referee report 10%

Final exam 30% 

Subject matter

1 Introduction Introduction to the course and systematic investing, strategic asset allocation and deep dive into fixed income markets

2 Tactical asset allocation Strategic asset allocation, macro momentum, trend-following, carry, value and momentum, and basis

3 Equity security selection Beta, size, value, price and earnings momentum, quality and accruals, news flow and machine learning

4 Credit security selection Value, momentum, quality and carry

5 Values investing ESG ratings, impact on market efficiency, board composition, and other topics

6 FX and commodity models, and other portfolio construction considerations  


Programs where the course is taught: