Rule Based Investing Designing Effective Quantitative Strategies for Foreign Exchange, Interest Rates, Emerging Markets, Equity Indices, and Volatility

by Hsu, Chiente

• ISBN13: 9780133354348
• ISBN10: 0133354342
• Edition: 1st
• Format: Hardcover
• Copyright: 2013-12-20
• Publisher: Ft Pr

Summary

Use rule-based investment strategies to maintain trading and investment discipline, and protect yourself from fear, greed, pride, and other costly emotions! Since the mid-1990s, assets under management in rule-based or non-discretionary hedge funds have outgrown those in discretionary or qualitative funds. Recent research shows that rule-based funds have outperformed discretionary funds on a risk-adjusted basis over the past 30 years, and have especially outperformed during recent financial crises. This is the first comprehensive guide to designing and applying these sophisticated strategies. Combining academic rigor and practical applications, it explains what rule-based investment strategies are, how to construct them, and how to distinguish bad ones from good ones. Unlike any other guide, it systematically covers every facet of the topic, including Forex, rates, emerging markets, equity, volatility, and other key topics. Credit Suisse head of global strategy and modeling, Chiente Hsu, covers carry, momentum, seasonality, and value-based strategies; as well as the construction of portfolios of rule-based strategies that support diversification. Replete with realistic examples, this book will be a valuable resource for everyone concerned with effective investing, from traders to specialists in applied corporate finance.

Author Biography

Chiente Hsu (New York, NY) is head of global strategy and modeling at Credit Suisse. From 1998, she led a team of Ph.Ds implementing quantitative investment strategies for the bank’s own capital and its investors. Dr. Hsu was previously a professor at the University of Vienna, Austria, and a visiting professor at Duke, NC, teaching and conducting research in financial econometrics. She has published widely in major finance and economics journals, such as The Review of Economics and Statistics. Dr. Hsu holds an MA in Computer Science and Business Management from the Technical University Vienna and a Ph.D. in Economics from the University of Vienna, Austria.

Table of Contents

1. Rule Based Investment Strategies: What They Are and How to Select the Good from the Bad

2. Carry: The Mother of All Trading Strategies

3. Momentum Strategies

4. Seasonality Based Strategies

5. Value Based Strategies

6. Volatility Strategies

7. The Importance of Diversification and How to Construct Portfolios of Rule Based Strategies

 

The first complete, practical, example-driven guide to building rule-based investment strategies that work.