LFIS (La Française Investment Solutions), a Paris-based quantitative asset manager with USD12.5 billion AUM, is to fund two new research projects across important themes in quant investing and asset management, the next step in its long-term partnership with the Quantitative Management Institute (QMI).
The projects will explore new methodologies in quantitative investing and are being led by prominent academics in the field. The first, led by Hugues Langlois, Assistant Professor of Finance at the HEC Paris, seeks to develop a novel approach to portfolio optimisation and corresponds with QMI’s focus on addressing real-world implementation challenges. The second project, led by Costas Xiouros, Associate Professor at the BI Norwegian Business School, presents an innovative challenge to the CAPM model and aligns with QMI’s work on portfolio construction and risk management. The results of the research will be presented at LFIS and QMI’s 2020 Quant Vision Summit in Paris early next year.
Guillaume Garchery (pictured), LFIS’ Head of Quantitative Research and Development, says: “We are seeing the continued global growth of quant investing, and an increased appetite among investors for these types of strategies, which we think will only continue to expand. Giving research the funding it needs will help tackle the challenges we see and bring new approaches to light to drive returns and move the industry forward.”
LFIS and QMI announced their multi-year partnership in May 2018, focused on bringing the worlds of academia and practice together to address three main stages of quantitative investing: artificial intelligence and signal generation, portfolio construction and risk management and implementation challenges.
Gaëlle Le Fol, Scientific Director of QMI, says: “We are delighted to partner with LFIS to fund these topical research projects. These projects align perfectly with the commitment of QMI to addressing major challenges in quantitative investing though research. We look forward to working with Hugues, Costas and LFIS to bring this research to life”.
