Session 3: Replicating the Research Paper ‘the Conservative Formula: Quantitative Investing Made Easy’
Discussion Topics:
- The formula is based on 3 investment criteria: low return volatility, high net payout yield, and momentum
- This investment formula gives investors efficient exposure to the most important factor premiums and outperforms the market by a wide margin in 100 years time horizon across different regions
- The formula was tested starting from 1929 for the US, Europe, Japan, China and Emerging Markets, demonstrating consistent results
- The formula is based on 3 investment criteria: low return volatility, high net payout yield, and momentum
- This investment formula gives investors efficient exposure to the most important factor premiums and outperforms the market by a wide margin in 100 years time horizon across different regions
- The formula was tested starting from 1929 for the US, Europe, Japan, China and Emerging Markets, demonstrating consistent results
Speakers
Vadim Nagaev
BQuant Product Specialist
Bloomberg L.P.
Vadim Nagaev has been a BQuant Product Specialist at Bloomberg for the last two years. He has nine years experience as a Quant Researcher and Quant Developer at two hedge funds, and three years at Goldman Sachs in Risk Management Quant. Vadim holds a MS and BS in Applied Math and Computer Science, and a MS in Financial Engineering. He has also received CFA and FRM designations.