• Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Study of the impact of factors on returns on financial assets

Study of the impact of factors on returns on financial assets

Paperback

Probability & Statistics

ISBN10: 620798692X
ISBN13: 9786207986927
Publisher: Our Knowledge Publishing
Published: Aug 25 2024
Pages: 72
Weight: 0.26
Height: 0.17 Width: 6.00 Depth: 9.00
Language: English
This dissertation is an internship report for Typhoon Partner, a UK-based proprietary investment firm specializing in the development of quantitative investment strategies. We focus on intra-sector and inter-sector returns relative to the fundamental characteristics of US equities. After a thorough analysis of the basic concepts of risk and the issues involved in risk management, we will first look at the various risk measures associated with each sector (VaR, Expected Shortfall, etc.). Secondly, using the relevant literature, we apply a statistical model to explain cross-asset returns in the equity universe using the financial ratios selected, with the aim of studying the performance of equities within a sector and between several sectors. Finally, we look at the comparison of investment strategies and portfolio insurance.

Also from

Ben Nasr, Mehrez

Also in

Probability & Statistics