Engineering Investment Process

Introduction

• I.1 Making value creation repeatable
• I.2 Why do we allocate?
• I.3 Building a process
• I.4 Further reading

List of Acronyms

1: Understanding the Investment Universe

• Abstract
• 1.1 Introduction
• 1.2 Computing returns
• 1.3 Moment estimation
• 1.4 The time series properties of returns
• 1.5 Modeling financial returns and why it matters to an investment process
• 1.6 Living in a world of factors

2: Dealing with Risk Factors

• Abstract
• 2.1 Dependence among markets
• 2.2 Linear factor models
• 2.3 Risk factor dynamics: the state-space modeling framework
• 2.4 The liquidity risk factor
• 2.5 Implications of low rates on risk modeling in fixed-income markets

3: Active Portfolio Construction

• Abstract
• 3.1 Introduction
• 3.2 A theoretical toolbox for allocation
• 3.3 A focus on mean-variance
• 3.4 Spectral insights for allocation
• 3.5 Allocating using views
• 3.6 Allocating without views
• 3.7 Dynamic trading

4: Backtesting and Statistical Significance of Performance

• Abstract
• 4.1 Introduction
• 4.2 Backtesting
• 4.3 Performance statistics
• 4.4 Statistical significance of performance

5: Gauging Economic Influences on Quantitative Strategies

• Abstract
• 5.1 A tale of three strategies
• 5.2 Building economic condition indices
• 5.3 Relating business conditions to market performances
• 5.4 The impact of economic information on a strategy’s performance

Appendix

• A.1 Useful formulas
• A.2 Diversification measures
• A.3 A brief introduction to inverse problems
• A.4 Tables from Chapter 5