A carregar...
Publicação
Analysis of quantitative investment strategies
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 869.13 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper tests the combination of five different sub-strategies, resembling the performance
of a multi-strategy hedge fund benchmarked against the popular buy-and-hold S&P 500
investing approach. The sub-strategies are: residual momentum, value including intangibles,
value and momentum, volatility forecasting, and a long short-term memory strategy, the latter
two being machine-learning-based, and all investing in the U.S. universe. The combined
strategy’s performance is analyzed by three weighting schemes: equal-weight, momentum, and
mean-variance, resulting in a gamut of robustness and performance. The combined strategies
reap diversification benefits, thereby giving investors a superior risk-reward trade-off compared
to the buy-and-hold S&P 500 approach.
Descrição
Palavras-chave
Systematic trading strategy Momentum Value Volatility forecasting Machine learning Neural networks Quantitative trading strategy