Engineering Investment Process


Making Value Creation Repeatable

Engineering Investment Process

Florian Ielpo, University of Paris 1, France
Chafic Merhy, University Paris IX Dauphine, France
Guillaume Simon, Capital Fund Management


ISBN : 9781785481628

Publication Date : April 2017

Hardcover 430 pp

130 USD

Co-publisher

Description


This book 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.

Contents


1. Understanding the Investment Universe.
2. Dealing with Risk Factors.
3. Active Portfolio Construction.
4. Backtesting and Statistical Significance of Performance.
5. Gauging Economic Influences on Quantitative Strategies.

About the authors


Florian Ielpo is Head of Macro Research at Unigestion and associate researcher at University of Paris 1 in France.
Chafic Merhy is Head of Credit Quantitative Research at Natixis Asset Management. He is also a lecturer at University Paris IX Dauphine.
Guillaume Simon is Research Manager in Equity Statistical Arbitrage for Capital Fund Management.

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