In Jan 2021, I taught a short course on quant investing. This was the second offering of the course, the first being in Jan 2020. The course had been motivated by the lack of an accessible, high-level introduction to quant investing that rejects the stereotype of machines magically making money with math and instead highlights the business and strategic aspects that play a crucial role in a quant strategy and fund's success.

  1. Introduction to Quant Investing: We discuss how all investing is driven by views and break down a view into its alpha and risk components. Quant investing is about generalizable views. Quant approaches are showing up everywhere and we look at some quant-like approaches outside the financial markets.
  2. Quant Strategies: #1: Views are ideas; strategies are actions. We discuss the sources of edge in strategy and discuss the three main reasons-- Brains, Brawn and Bravery-- behind a strategy's success. We will discuss how new datasets like credit-card receipts and satellite photos can enable better investing decisions.
  3. Quant Strategies: #2: We continue the discussion about strategies and discuss factor investing as a strategy and some of its pros and cons. We also cover CTAs, statistical arbitrage and high-frequency trading (HFT). As a case study, we look at the deficiencies in U.S. market structure that encourage payment for order-flow and, in turn, how that enables brokerage firms to offer you zero-fee stock trading.
  4. Quant Funds and Careers: We talk about the business aspects of quant funds and about building a career in this industry.

Course slides: Please email me.