Thursday 30th March, 2017
5:30pm to 9:00pm
Carry and Value and Portfolio Strategies
When things stay the same
Carry and Roll
P vs Q measures.
Carry as P measure expectation
Calculating Carry and Roll
Instruments: Futures, swaps, bonds, equities, fx, options
Carry strategies and performance
Elements of expected returns, Decompositions, and forecasting.
How much carry can you expect to take home?
What should it really be worth?
What is value?Timeseries and Stationarity vs Horizon
Value Trading, Value Investing, Valuations vs Pricing
Measures of Value:
Long-term proxies for value outside equities
Recap: Timeseries – mean-reverting/trending/mean-reverting
Combining lots of things
Measures of performance and risk:
Sharpe, Sortino, Calmar
MVO reviewBootstrap methods in MVO
Optimal Shape Ratios, Risk Parity and Min Variance
MVO as regression – tests of optimality
Portfolio Strategy Design
Forecasting vs optimal weights-measurement of ‘goodness’
Objectives without theory – overfitting
Sharpe Ratios – distributions and significance (t stats and asymptotic normality)
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