Hadrien Darmon
Equity Portfolio Quantitative strategies Market neutral 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 scala