LQG 8/12/20 – On-Line – Practical fund factor analysis – Dori Levanoni

Practical fund factor analysis – ex-ante implementation

Seminar by Dori Levanoni

8th December 2020 – On-Line

Most factor analysis of strategies is done ex-post. Some methods assume that such ex-post analysis can be used in an ex-ante fashion (i.e. for performance attribution, etc.). However, much like risk estimates, which can be done both ex-post and ex-ante, factor analysis can be done ex-ante as well, as long as historic positions are available.

This talk will demonstrate the methodology using a simple strategy (FX Carry) and will include snippets of the python code used to create the analysis.

Dori Levanoni

Chief Investment Strategist – First Quadrant 

Dori Levanoni is a senior member of First Quadrant’s Investments team. In his more than two decades with First Quadrant, Dori has been involved in nearly every aspect of the firm’s investment process, contributing to research, risk measurement, risk allocation, portfolio optimization, trading, and portfolio management.

Dori has played an integral role as portfolio manager for a number of strategies across the firm’s global macro and global equity platforms, and has also contributed his insights to various research projects, journals, publications and speaking engagements.

Dori began his career at First Quadrant in 1991, spending a brief period in the mid-1990s researching in the Department of Anatomy and Neurobiology at Washington University in St. Louis, before returning to the firm for the remainder of his tenure.