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Larry Pohlman BNP Paribas Asset Management

Larry Pohlman BNP Paribas Asset Management. The Business of Quantitative Investing. What is Quantitative Investing?. 2. | 04/01/2020 |. Characteristic Fundamental Technical Quantitative Approach Value & Growth Momentum Value & Growth + Momentum

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Larry Pohlman BNP Paribas Asset Management

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  1. Larry PohlmanBNP Paribas Asset Management The Business of Quantitative Investing

  2. What is Quantitative Investing? 2 |04/01/2020| • Characteristic Fundamental Technical Quantitative • Approach Value & Growth Momentum Value & Growth + Momentum • Market Subset of stocks Anything All stocks • Investment Horizon Months to years Minutes to days Days to months • Returns Absolute Absolute Relative • Portfolio Type Concentrated Mixed Risk controlled Specialized Benchmarked Hedge fund Long/short • Active Risk High Low Medium • Bookshelf Graham & Dodd Edward & McGee Markowitz Sharpe Grinold & Kahn

  3. How Do Quants Add Value? Scalability of coverage and uniformity of skill across a broad opportunity set Focus on risk as well as return Ability to employ multiple factors simultaneously Efficient distribution of risk budget Ability to digest disparate information quickly and translate into actionable recommendations Continue to evolve factors and adapt process to changing environments Handle special objectives 3 |04/01/2020|

  4. Risks Quants Face Common factor exposure removes “inefficiencies” and drives commoditization of the industry Structural market shifts Fundamental investors incorporate benefits of quant Data lag and inaccuracies False precision Difficulty in processing qualitative information 4 |04/01/2020|

  5. Industry Research Themes Forensic accounting Low volatility investing Regime switching models Questioning capitalization-based models Text mining: Quantifying qualitative information Data mining Advanced optimization Dynamic factor models High frequency 5 |04/01/2020| 5

  6. What Makes a Great Quant Firm? Discipline and rigor in process Capital markets and accounting expertise Unique analytical advantage Technological: superior software and data Unconventional wisdom Focus on efficient execution 6 |04/01/2020|

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