Bloomberg Quant (BBQ) Seminar Series

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Keynote:  Charles-Albert Lehalle, Senior Research Advisor, Capital Fund Management

Factor Investing and its Implementation Cost

Since academic “factors” attracted a lot of attentions the last 10 years, it is of paramount importance to understand the difference between “paper portfolios”, i.e. the result of backtests, with real ones. One of the main sources of differences are the transaction costs. Being able to compute the transaction costs not only enables us to apply a corrective term to the Sharpe ratio of factors like Size, Value and Momentum, it allows to estimate their “break even”, giving crucial information about the capacity of such factors. This talk will discuss various ways of estimating transaction costs. We will mainly compare an non parametric and a parametric approach, the later using a model for transaction costs that includes market impact. To provide real numbers, we first reimplemented these three factors and we relied on an unique database (ANcerno), containing a very large sample of asset managers large trades, in the US, over 15 years.

Lightning talks

A lightning talk is a very short presentation lasting only 5 minutes.  Several ones will be delivered in a single session by different speakers in quick succession.

• Bruno Dupire (Bloomberg L.P.) – “25 Years of Local Volatility”
• Frederic Siboulet (DeLoitte) – “Libor Extinction”
• Prof. Philip Lasser (The Julliard School) – “Music: The Spiraling Tapestry”
• David Mitchell (Bloomberg L.P.) – “Visualizing implied vol performance in the selloff”
• Sebastian Tudor (Stevens Institute of Technology) – “Quantum MC for fractional stochastic processes”

Cocktail Reception