Quantitative strategies Market neutral

Equity Portfolio Quantitative strategies Market neutral 1 Investment overview 1.1 Investment strategy: 1.        Equity Market neutral (+/- 10% net Delta-Beta) 2.        Systematic and quantitative (proprietary models) 3.        Low (daily rebalancing) to mid frequency (10 days average holding position) 4.        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: 1.        Quantitative and disciplined investment process 2.        Qualitative investment methodology and Systematic risk management 1.3 Investment universe: 1.        Underlying : stocks and indices 2.        Product : cash and index futures (90% of the portfolio), only listed and highly liquid products 3.        Region: Europe (85%) and US markets (15%) Liquidity : Highly liquid underlying (Portfolio liquidity ratio: less than half a day) – Portfolio highly scalable              2 1.

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. 3 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 p