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Hadrien Darmon

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Equity Portfolio Quantitative strategies Market neutral 1 1 Investment overview 1.1 Investment strategy: Equity Market neutral (+/- 10% net Delta-Beta) Systematic and quantitative (proprietary models) Low (daily rebalancing) to mid frequency (10 days average holding position) Average Return 10 to 15% - SR = 2.5 to 3 – portfolio running lived for the last 6 years on the buy side. 1.2 Investment approach: Quantitative and disciplined investment process Qualitative investment methodology and Systematic risk management 1.3 Investment universe: Underlying : stocks and indices Product : cash and index futures (90% of the portfolio), only listed and highly liquid products Region: Europe (85%) and US markets (15%) Liquidity : Highly liquid underlying (Portfolio liquidity ratio: less than half a day) – Portfolio highly scalable 2 1.4 Investment Process : ‒ My portfolio is built around uncorrelated systematic strategies classified in 2 pock
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Hadrien Darmon

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Equity Portfolio Quantitative strategies Market neutral 1 1 Investment overview 1.1 Investment strategy: Equity Market neutral (+/- 10% net Delta-Beta) Systematic and quantitative (proprietary models) Low (daily rebalancing) to mid frequency (10 days average holding position) Average Return 10 to 15% - SR = 2.5 to 3 – portfolio running lived for the last 6 years on the buy side. 1.2 Investment approach: Quantitative and disciplined investment process Qualitative investment methodology and Systematic risk management 1.3 Investment universe: Underlying : stocks and indices Product : cash and index futures (90% of the portfolio), only listed and highly liquid products Region: Europe (85%) and US markets (15%) Liquidity : Highly liquid underlying (Portfolio liquidity ratio: less than half a day) – Portfolio highly scalable 2 1.4 Investment Process : ‒ My portfolio is built around uncorrelated systematic strategies classified in 2 pocke
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