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Master Class: The New Frontiers of Factor Investing

Master Class: The New Frontiers of Factor Investing

Aired On

Dec / 15 / 2021
2:00 pm - EST
Milind Sharma

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
Disclosure: QuantZ/QMIT

DISCLAIMERS: QMIT is a data provider and not an investment advisor. This information has been prepared by QMIT for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Opinions expressed are based on statistical forecasting from historical data. Past performance does not guarantee future performance. Further, the assumptions and the historical data based used could be erroneous. All results and analyses expressed are merely hypothetical and are NOT guaranteed. Trading securities involves substantial risk. Please consult a qualified investment advisor before risking any capital. The performance results for live portfolios following the screens presented herein may differ from the performance hypotheticals contained in this report for a variety of reasons, including differences related to transaction costs, market impact, fees, as well as differences in the time and price of execution. The performance results for individuals following the strategy could also differ based on differences in treatment of dividends received, including the amount received and whether and when such dividends were reinvested. We do not request personal information in any unsolicited email correspondence from our customers. Any correspondence offering trading advice or unsolicited message asking for personal details should be treated as fraudulent and reported to QMIT. Neither QMIT nor its third-party content providers shall be liable for any errors, inaccuracies or delays in content, or for any actions taken in reliance thereon. QMIT EXPRESSLY DISCLAIMS ALL WARRANTIES, EXPRESSED OR IMPLIED, AS TO THE ACCURACY OF ANY THE CONTENT PROVIDED, OR AS TO THE FITNESS OF THE INFORMATION FOR ANY PURPOSE. Although QMIT makes reasonable efforts to obtain reliable content from third parties, QMIT does not guarantee the accuracy of or endorse the views or opinions given by any third-party content provider. All content herein is owned by QuantZ Machine Intelligence Technologies and/ or its affiliates and protected by United States and international copyright laws. QMIT content may not be reproduced, transmitted or distributed without the prior written consent of QMIT.

Disclosure: Interactive Brokers

Information posted on IBKR Campus that is provided by third-parties does NOT constitute a recommendation that you should contract for the services of that third party. Third-party participants who contribute to IBKR Campus are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from QuantZ/QMIT and is being posted with its permission. The views expressed in this material are solely those of the author and/or QuantZ/QMIT and Interactive Brokers is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to buy or sell any security. It should not be construed as research or investment advice or a recommendation to buy, sell or hold any security or commodity. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

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