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Stylized view of the key elements of engineering investment, bringing consistency and sanity checks to help ensure success

Table of Contents

1. Understanding the Investment Universe 2. Dealing with Risk Factors 3. Active Portfolio Construction 4. Backtesting and Statistical Significance of Performance 5. Gauging Economic Influences on Quantitative Strategies

About the Author

Florian Ielpo is Head of Macro Research at Unigestion and associate researcher at University of Paris 1 in France. Chafic Merhy is Head of Credit Quantitative Research at Natixis Asset Management. He is also a lecturer at University Paris IX Dauphine. Guillaume Simon is Research Manager in Equity Statistical Arbitrage for Capital Fund Management.