Syllabus : ATS, part 1

Quantitative Equity Investing

Course Description.
This course is a survey of quantitative equity investing as practiced in investment management environments. Emphasis is on
lower frequency and fundamentals - based strategies. The course covers risk models, stock selection models, portfolio
construction, and performance attribution.

The classes are structured as follows:

Short Presentation: 15 min
Long Presentation: 30 min
Practice: research platform in use: 45 min

Instructor: Piotr Arendarski, Ph.D, parendarski@wne.uw.edu.pl

.MSc and PhD Finance, Poznan University of Economics
.Head of the Quantitative Long-Short Equity Strategies at Quant Technology LLC. He is responsible for quantitative equity
research.

Prerequisites:
Financial Statement Analysis, Corporate Finance, Theory of Finance, Statistics

Course content:
1. Overview of quantitative equity investing (qei)
2. General: Bad Habits and Good Practices and Introduction to research platforms for qei. Overview of portfolio123.com
3. Style Premium : Understanding Style Premia
4. Low-volatility anomaly: Betting Against Beta
5. Value investing: Fact, Fiction and Value Investing
6. Value/Momentum investing: Value and Momentum Everywhere
7. Accruals and Asset Growth anomaly: The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies
8. Multi Style: Quality Minus Junk [video]

Grading
Class Participation and Attendance: 30% [extra points]
Short Presentation and discussion: 10%
Long Presentation and discussion: 30%
Project: 60%

The active participation in classes is crucial to understanding topic.

Grade
5
4+
4
3+
3
2

Total Score %
+90%
+80%
+70%
+60%
+50%
Less than 51%

Description
very good
better than good
good
satisfactory
sufficient
fail

The Long presentation.

The students select academic article form the range provided by the instructor. You work on the presentation in groups of
three students, there may be a possibility to work in groups of more/less people but this is decided by instructor upon the
appropriate circumstances. You should prepare presentation (max. 20 slides), and discuss important parts, at the end you
should conclude the research findings by your own words with your own, unique opinion.
You should spend net 20 minutes on discussing the selected paper. The 10 minutes is devoted to open discussion.

The Short presentation.

The students select very recent article form range of academic papers, press, and internet. The publication should be published
at most 6 months before the class. The publication must cover topic related to quantitative equity investing. You work on the
presentation in groups of three students, there may be a possibility to work in groups of more/less people but this is decided by
instructor upon the appropriate circumstances. You should spend net 10 minutes on discussing the selected paper. The 5
minutes is devoted to open discussion. You should prepare presentation (max. 10 slides), and discuss important parts, at the
end you should conclude the research findings by your own words with your own, unique opinion.
Example of resources:
https://www.researchaffiliates.com/Our%20Ideas/Insights/Pages/Publications.aspx
http://blog.alphaarchitect.com/
https://www.aqr.com/library
https://www.robeco.com/en/professionals/insights/markets/index.jsp
http://quantpedia.com/Blog

The Practice session.

The instructor conducts practice session for the first 20-30 minutes to show students how to implement the findings form the
presentations into the research platform. Afterwards, the instructor provides student with exercises to solve on the research
platform. You should ask the instructor whenever you do not know how to solve specific problem. You have chances to collect
extra points.

The Project.
The goal of the project is to create long/short algorithm for quantitative equity investing. You should produce a document of 5
pages, which has a form standardized by the instructor. You work on the presentation in groups of two students, there may be
a possibility to work in groups of more/less people but this is decided by instructor upon the appropriate circumstances. There
will be presentation of your project during the exam session or during the last week of the classes. The detailed specifics of the
project will be discussed during the class and paper version of the project requirements will be send to you by email.