Bquant Spotlight: Condition-Based Performance for Equity Portfolios
This custom portfolio/index is constructed using any number of tickers and adjusts the performance based on a 'condition'. This condition is a user-defined ticker such as the VIX or an interest rate spread. These conditions impact the individual indexes and the composite portfolio and provides a historical view of the performance by adjusting the level of the condition.
We will highlight several Equity portfolios examples including SPX sectors as well as large and small cap stock performance relative to the VIX to determine which levels you should enter or exit the market to improve performance and reduce volatility. We will then look at an equity portfolio with commodity exposure (Gold) to see how the direction of interest rate spreads and the levels that will have the greatest impact on this portfolio.
Speakers
Firas Triki
Quant Developer
Bloomberg L.P.
Firas implements quantitatively-based workflows in Bloomberg's BQuant platform for buy-side clients. Prior to Bloomberg, Firas was a Quant Developer on the sell-side working both on Equity Derivatives and Fixed Income products. He earned a Master’s Degree in Computer Science, a Master’s Degree in Financial Engineering as well as a Certificate in Quantitative Finance.
kai blatnicky
Equity Specialist
bbg
Kai Blatnicky spent 15-years as an M&A investment bankers at CIBC World Markets in both Canada and the U.S. before transitioning to the buy side where he was an Analyst at Millennium Management, a large New York Hedge Fund. After Millennium, Kai was a Portfolio Manager for a US mutual fund focused on dividends. Kai has been at Bloomberg for more than six years and helps clients with equity functionality. Kai graduated from McGill University in Canada and holds the CFA and CAIA designations.