Ravi Mattu and Lutz Schloegl

Ravi Mattu, Global Head of Analytics, Pimco

Lutz Schloegl, Head of Rates, FX, Commodity & EM Analytics, Pimco

The Quantitative Approach at PIMCO 

Abstract: We give an overview of how quantitative methods are used in PIMCO’s investment process, both in the traditional ‘real money’ management business as well as in the design and execution of systematic quant strategies. Examples of quantitative applications span global markets in fixed income, options, and currencies, and include fair value models, alpha signal generation, portfolio construction, as well as execution strategies.