Factor Investing

Factor investing entails allocating to systematic strategies that historically have shown a higher Sharpe ratio than the entire market. Well-known factors are Value, Momentum, Size, Quality, and Low-Risk. Most of the research on factor investing has been conducted on equity markets. The literature for other markets, such as corporate bonds, government bonds, or commodities, is still limited but also increasing.

The projects on this topic cover the entire quant model development cycle: analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation.

Examples of previous internship projects

• Predicting country equity returns with interest rates

• Anomalies in Chinese stock markets

• Alternative data for alternative alpha

• Factor risk premia in the foreign exchange market

• Corporate bond factor investing in the energy market