The Fund’s Quantitative Branch focuses on leveraging systematic tools to create investment strategies.
It has been an incredible opportunity for the both of us to be responsible of the Quantitative Brand of the Student Investment Fund. Our goal this year is to construct strategies relying on sound research of the state of the art techniques used by investment researchers. We are proud to announce that this year, one strategy has gone live- momentum!
Statement from the CIO’s, Karl Nalpas and Jorge Mataix
This year’s Quantitative Team is split based on the 4 quantitative strategies: Momentum, Multi-Factor, Statistical Arbitrage, and Sentiment Team. Each team has a Senior Analyst overseeing 5-7 Junior Analysts as they work on research, implementation, and back-testing of these strategies. To adapt to the evolution of the Quantitative Branch, there are plans for next year’s to be based on skills, rather than strategies, to align with the expansion of the Fund.
Finally, the day has come. All those hours spent in the Imperial Business School, with inputs from everyone in the team and beyond, the quantitative department’s momentum strategy is now live. A volatility-scaled cross-sectional momentum on US equity sectors ETFs, with a value and hedge component – an idea that now has reached fruition.
Statement from Portfolio Manager, Ivan Shishkanov, on the launch of the Momentum Strategy
View the Quantitative Department reports here: