The Intertek Group

Training

Intertek on-site training offers a cost-effective solution to developing the skills of your equity teams, be they portfolio managers, risk managers, or quantitative analysts.

The Intertek Group offers a menu of in-house courses that can be tailored to the Client’s requirements. All courses come with the software used to illustrate the concepts and techniques. Participants learn the methodology and its application to practical cases, and acquire the basic software to apply the techniques. Additional software development can be implemented to a Client’s specifications. Examples of training modules follow.

Module 1 : Assessing Factor Models with Random Matrix Theory

This course teaches Random Matrix Theory, a tool that allows to determine the optimal number of factors and to discriminate between factors with explanatory power and factors with predictive power. Participants will learn the basics of Random Matrix Theory and will acquire a working knowledge of how to apply the theory to enhance the forecasting power of their factor models. In particular, participants will learn how to:

Ø      Evaluate the real forecastability of returns in each market state

Ø      Separate autocorrelations and cross autocorrelations from noise

Ø      Assess the number of meaningful factors of returns

Ø      Separate factors with the highest forecasting power from factors that primarily identify risk exposures

Ø      Measure the efficiency of factors in terms of the signal-to-noise ratio

Click here for the course program.

Module 2 : Building Sectors and Sector Models with Clustering

This course teaches the Clustering of time series, a technique that allows to group together stocks in function of true similarities between firms, to identify predictors, and to identify critical risk conditions. Participants will learn the basics of clustering techniques and how to apply clustering to build factor models based on true correlations. In particular, participants will learn how to:

Ø      Build different measures of similarity between time series and, in particular, correlation similarity

Ø      Apply similarities to create clusters of time series

Ø      Apply different types of clustering criteria including hierarchical and k-means

Ø      Build factor models based on correlation clustering and Euclidean clustering

Click here for the course program.

Module 3 : Assessing Factor Models with the Signal-to-Noise Ratio

This course addresses the problem of determining unique proprietary factors that have good explanatory power. It teaches methodologies based on the signal-to-noise ratio, a vital parameter for assessing the efficiency of factors and explaining their uniqueness. Participants will learn how to perform the signal-to-noise ratio and other vital diagnostics on their factor models. In particular, participants will learn to:

Ø      Assess the “distance” of their factors from other factors and from principal components

Ø      Gauge the uniqueness of their proprietary factors

Ø      Measure the efficiency of their factors in terms of their ability to extract correlation information from the market

Ø      Compute the maximum signal-to-noise ratio of the market

Click here for the course program.

Module 4 : Forecasting Prices and Returns with Dynamic Factor Models

Factor models can be used in forecasting returns provided that we can forecast factors or regress returns on lagged factors. Dynamic factor analysis looks at factor models specifically from the point of view of forecasting. Participants will learn the basic theory of dynamic factor models and their estimation. In particular, participants will learn how to:

Ø      Build dynamic factor models of stationary variables (returns)

Ø      Build dynamic factor models of  integrated variables (prices)

Ø      Determine the optimal number of factors

Ø      Determine how to estimate factors

Ø      Forecast with dynamic factor models

Click here for the course program.

In addition, Intertek offers training courses on subjects such as:

Ø      Fundamentals of Quantitative Methods and Learning Theory

Ø      Robust Estimation Methods

Ø      Portfolio Management with Higher Moments

Ø      Regime-Shifting Models for Time Series and Cross-Sectional Data

Ø      Modern Factor Analysis

If your needs are different, we would be happy to discuss this with you.

Intertek training can be tailored to the level you require for your portfolio managers, quantitative analysts, or model developers, be it introductory or advanced, and is provided at the location and date (including weekends) that suit your needs.

Lecturer : Sergio Focardi

For the program of the above courses or to discuss your training requirements, contact Sergio Focardi (tel: +33 1/45 75 51 74; email sfocardi@theintertekgroup.com)