Engineering Investment Process. Making Value Creation Repeatable

Description

Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process. Content: Front matter,Copyright,Foreword,Preface,Introduction,List of AcronymsEntitled to full text1 - Understanding the Investment Universe, Pages 1-59 2 - Dealing with Risk Factors, Pages 61-158 3 - Active Portfolio Construction, Pages 159-257 4 - Backtesting and Statistical Significance of Performance, Pages 259-296 5 - Gauging Economic Influences on Quantitative Strategies, Pages 297-328 Appendix, Pages 329-346 Conclusion, Pages 347-348 Bibliography, Pages 349-386 Index, Pages 387-391