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Field lab: analysis of quantitative investment strategies constructing a multi-factor investment strategy optimized sector momentum
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| 1.62 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
In the combined part a multi-factor investment strategy is constructed out of four different
enhanced single factor strategies using an optimization to maximize the Sharpe ratio of the
combined portfolio. In the individual part an optimized sector momentum strategy is
constructed that consists of a combination of a long and a market-neutral long/short strategy
utilizing a simple regime-switching process with the goal to minimize momentum crashes and
achieve robust returns in all market states.
Descrição
Palavras-chave
Quantitative investments Financial markets Factor investing Sector momentum Market neutral Regime switching