an introduction to equity statistical arbitrage
TRANSCRIPT
An Introduction to Equity Statistical Arbitrage
Table of Contents
Equity Statistical Arbitrary – Overview
Pair Trading – An Example
enter exit
Pair Trading – Why Makes Sense
Introduce Factors
Different Types of Factors
Fundamental Factor Model
Fundamental Factor Model
Fundamental Factor Model
Statistical Factor Model
Statistical Factor Model
Risk Model
Risk Model
Portfolio Construction
Portfolio Construction – Sorting Based Approach
Portfolio Construction – Markowitz Approach
Portfolio Construction – Low Beta Anomaly Example
Portfolio Construction – Low Beta Anomaly Example
Portfolio Construction – Low Beta Anomaly Example
‘have not performed as expected’ -
Portfolio Construction – Black-Litterman
Portfolio Construction – Black-Litterman
Price Forecast
Price Forecast – Factor Based Approach
Price Forecast – Factor Based Approach
Price Forecast – Regression Based Approach
Q&A