Master Class: The New Frontiers of Factor Investing
This Master Class, led by QuantZ founder Milind Sharma, is a hands-on introduction and walk-through of today’s state-of-the-art quantamental techniques. We will also cover how RORO (risk on, risk off) regime-based Factor Investing outperformed during the 2020 Covid crash and how such ML Enhanced Smart Betas can be combined to potentially outperform popular strategies such as Quality + Value; Value + Momentum; Quality + Momentum etc., as well as hedge fund signals. We will also touch on the Great Factor Rotation of 2021 & Q1 meme stock histrionics – going well beyond the basic Fama-French constructs:
- The compression & commoditization of alpha
- Traditional stock-picking vs ML Enhanced Smart Betas (ESBs)
- ESB characteristics — How some ESBs (which combine hundreds of factors into ML enhanced cohorts) have outperformed naïve factors
- How to express any view on Equities via a spanning set of ESBs
- Quantamental signal generation: Off the shelf vs. Customized signals
- Hedge Fund in a Box – From signal spreads to fully optimized HF portfolios
- Sector rotation with signals
- RORO regime detection via ML & the classification of ESBs
- From RORO regimes to a Universal Crash Factor
Date: Wed, Dec 15, 2021 2:00 PM – 3:00 PM EST
Contributed By: QuantZ/QMIT
Presented By: Milind Sharma, CEO, QuantZ/QMIT
Interactive Brokers is not affiliated with QuantZ/QMIT and does not endorse or recommend any information or advice provided by QuantZ/QMIT.
Disclosure: Interactive Brokers
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Disclosure: Hedge Funds
Hedge Funds are highly speculative, and investors may lose their entire investment.