A quantitative equity strategy based on factors formed by industries in the S&P500
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011.
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/65809 |
| _version_ | 1826201133429817344 |
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| author | Liu, Jack Wen-Hao |
| author2 | John DeTore. |
| author_facet | John DeTore. Liu, Jack Wen-Hao |
| author_sort | Liu, Jack Wen-Hao |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. |
| first_indexed | 2024-09-23T11:47:03Z |
| format | Thesis |
| id | mit-1721.1/65809 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T11:47:03Z |
| publishDate | 2011 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/658092019-04-12T14:54:07Z A quantitative equity strategy based on factors formed by industries in the S&P500 Liu, Jack Wen-Hao John DeTore. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. Cataloged from PDF version of thesis. Includes bibliographical references (p. 25). 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. by Jack Wen-Hao Liu. S.M. 2011-09-13T17:55:34Z 2011-09-13T17:55:34Z 2011 2011 Thesis http://hdl.handle.net/1721.1/65809 750498676 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 31 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Liu, Jack Wen-Hao A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title | A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title_full | A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title_fullStr | A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title_full_unstemmed | A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title_short | A quantitative equity strategy based on factors formed by industries in the S&P500 |
| title_sort | quantitative equity strategy based on factors formed by industries in the s p500 |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/65809 |
| work_keys_str_mv | AT liujackwenhao aquantitativeequitystrategybasedonfactorsformedbyindustriesinthesp500 AT liujackwenhao quantitativeequitystrategybasedonfactorsformedbyindustriesinthesp500 |