Quantitative Investment Strategies
ZHAW Quantitative Investment Strategies
ZHAW Quantitative Investment Strategies
Set of flashcards Details
| Flashcards | 31 |
|---|---|
| Language | English |
| Category | Finance |
| Level | University |
| Created / Updated | 14.06.2022 / 07.05.2023 |
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How does Value fit into factor space?
Equity valuation
Discounted Dividend Model
Gordon's Growth Model
Multi stage models
Dividends, Cashflow and Earnings Model
Earnings, Book Values and the Residual Income Model
Other Valuation Methods
Eneterprise value vs Equity value
Catalyst
– Something that will make other people realize the stock’s value
Commodity options to manage risk
Due Dilligence Complexity of the task (4 tasks)
Evaluation the people:
Challenge is to understand the people you deal with respect to
Looking for content
you have to evaluate the substance in terms of
an absolute and a relative element in this.
Looking for context
Contrary to popular belief, investments have also their fashioncycles. If something is considered to be “hot” a lot of supply willbe generated. Thus, it will be a challenge to discernate “the good, the bad from the ugly”.
It will be also a challenge to select the relevant peers and to stay up-to-date regarding their performance.
Selection should also be judged in the context of other existing or planned investments of your company which leads straight to the overall asset allocation strategy and portfolio construction.
Analysing the (legal) Documents
Priority 1: checking the legal documents to properly understand the set-up
➢HF: check the offering memorandum, the subscription documents etc.
➢PE: Analyze the articles of association, shareholder agreements etc.
➢Engage external lawyers for a thorough legal document check if necessary
Priority 2: check all other documents
➢Incentive schemes
➢Any pending litigations?
Alternative Investment Strategies: Investment Process
Hege Fund and Private Equity
Intrinsic value of other asset class
What is Momentum?
Definition of Momentum
Momentum is a measure of the strength of a price movement
Haircut (HC) in sharpe ratio
How to quantify the performance of a test set up? recall, specifity and precision
Hedge Fund Definition
Hedge Fund Strategies
Hedge Fund Strategies and Risk
Investment Styles and Return Driver
Relative Value Stategies
Event Driven Strategies
Ddirectional Strategies
Momentum Strategies:
Cross section Momentum
Time series Momentum
Cross-section: Cut-off @ #3
Good day: All winners (long) have positive performance but so have two losers (short) Bad day: All losers (short) have negative performance but so has one winner (long)
Time-series: Cut-off @ 1.5%
Good day: Six winners (long) selected but no losers (short), portfolio of six
Bad day: Three losers (short) selected but no winners (long), portfolio of three
Take-away:
In heavily tilted markets, time-series momentum strategies are biased with regard to the overall market trend.
Depending on the cut-off, their selection may vary largely in size while for cross- section strategies the portfolio size is always constant.
Momentum mathematical approach
Momentum two dimension to explanation:
Explaining momentum
What is Carry?
*: prices as a function of “time to maturity”
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