Engineering Investment Process: Making Value Creation Repeatable

Engineering Investment Process: Making Value Creation Repeatable explores the principles and features of a fund's investment process, their unique characteristics, and the ways they reflect the experience and beliefs of the fund's manager, all of which drive the resilience of the fund's performance. As each investor should understand their asset universe, identify all the obvious and hidden sources of risk, and know how to allocate and criticize their own backtest, this book helps readers make those critical decisions using a clear manner that presents the scientific tools that are necessary for a full understanding of the engineering investment process. Blends academic research with practical experience from quants, fund managers, and economists Puts financial mathematics and econometrics in their rightful place Presents useful information that will increase the reader's understanding of marketsClearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its constructionIncludes efficient tools taken from up-to-date econometric and financial techniques INDICE: Part 1. Understanding your investment universe 1. Why dealing with redundant information is important: the hidden beta risk 2. Statistical objects and estimators 3. Assessing the quality of data Part 2. Dealing with risk factors 1. Dependence among markets 2. Objectives and use of risk factors 3. Identifying and estimating risk factors 4. Beyond market risk factors 5. Linking market risks factors to the business cycle: the time varying risk premia Part 3. Active Portfolio Construction 1. Using your own strategies 2. Allocating using views 3. Allocating without views 4. Theoretical framework for portfolio allocation Part 4. Backtesting the process and measuring its performance 1. Key PnL statistics 2. Performance measures are statistical objects 3. Analyzing Pnl

• ISBN: 978-1-78548-162-8
• Editorial: ISTE Press - Elsevier
• Encuadernacion: Cartoné
• Páginas: 200
• Fecha Publicación: 01/03/2017
• Nº Volúmenes: 1
• Idioma: Inglés