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.
- 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 markets
- Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction
- Includes efficient tools taken from up-to-date econometric and financial techniques
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 Quantitaive Strategies
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.