Systematic Investments

Objectives

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.