1. US Equities and Exchange Traded Funds: a quant Perspective
- PCA and factor analysis of large-scale correlation
- Matrices
- Extracting factors from market correlations
- Systematic volatility, idiosyncratic volatility and their variation in time
2. Exchange Traded Funds
- Exchange-traded funds (ETFs): review
- ETFs as risk factors
- Leveraged ETFs and Volatility ETFs
3. Pairs-trading, mean-reversion, co integration
- Pairs trading: theoretical framework
- Leveraged ETFs pairs trading
- VIX ETF pairs trading
- Stock/sector ETF pairs trading
4. Statistical Arbitrage
- Portfolio construction
- Leverage & financing considerations
- Dynamic risk-management: limiting systematic risk
- Practical considerations
5. Historical Results via backtesting
- Late 1990s - 2002-2007: How the subprime crisis affected statistical arbitrage
- 2008-2010: The future of medium-frequency statistical arbitrage
° Q&A opportunity for further technical questions
