A quantitative equity strategy based on factors formed by industries in the S&P500
Name
750498676-MIT.pdf
Description
Full printable version
Size
10.26 MB
Format
Adobe PDF
Checksum (MD5)
4255d495ea8386cb281c8341efc1ee73
Author(s)
Liu, Jack Wen-Hao
Advisor(s)
John DeTore.
Date Issued
2011
Publisher
Massachusetts Institute of Technology
Abstract
This paper presents and simulates a long-short market-neutral quantitative equity trading strategy for US stocks. First, economic intuition and academic researches for which this trading strategy is based upon will be explained. Second, to ensure that the trading strategy simulation would be as realistic as possible, I will introduce some trading constraints, investment guidelines, and other assumptions/ restrictions about the strategy's backtest setting. Third, I will put in detail how the trading model is built and how the strategy is executed. Fourth, the strategy's backtest result will be presented. Fifth, I will use some risk factors to analyze the strategy's performance as well as compare the strategy's results against these risk factors. Lastly, I conclude with several insights drawn from this research on quantitative investment.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 25).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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