Course Description
The course builds on the equity markets material in COMM 4710. We examine factor models, as used in practice, to both describe the risk vs. return trade-off in U.S. equity markets & to evaluate active equity portfolio managers. Given this framework, we define & examine a number of quantitative strategies including: value, momentum, low volatility (both long-only & long/short). Finally, we discuss the issue of interconnected portfolio strategies.
