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1. Introduction
2. Agenda
3. Focus
4. In the headlines
5. Analysis of performance
6. Long-run performance
7. Performance statistics to end 2007
8. Long-term factor performance
9. This decade's performance to end 2007
10. 2007 performance
11. August 2007 (1)
12. Credit
13. Volatility
14. Liquidity
15. Overcrowding
16. Factor correlations
17. Factor volatility
18. August 2007 - don't blink!
19. August 2007 (2)
20. Post August 2007
21. Failures and leverage
22. Generic factor returns
23. Factor returns in second half of 2007
24. Factor returns in 2007
25. Value pain felt during 'quantmare' (1)
26. Value pain felt during 'quantmare' (2)
27. Factor dispersion
28. Exposure to credit (1)
29. Exposure to credit (2)
30. The double whammy, risk models and normality
31. Excessive leverage
32. Where do we go from here?
33. Possible avenues
34. New factors
35. Improved risk models
36. Distributions
37. Correlations and copulas
38. 2008 and 2009
39. Recent headlines
40. Recent performance
41. Risk
42. Recent factor performance
43. Summary
44. Important notice

Topics Covered

• Quantitative investing
• Equity market neutral
• Quantmare
• August 2007
• Factor models
• Credit crisis
• Volatility
• Liquidity
• Overcrowded trades
• Leverage
• Correlation
• Value investing
• Risk models
• Factor rotation
• Regime switching
• Correlations and copulas
• Systematic strategies

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on July 19, 2010
• Archived on April 4, 2022