Nonlinear Investing: A Quantamental Approach

This book focuses on nonlinear investing with a quantamental approach. Pricing relationships in financial markets are often nonlinear, which raises serious questions for portfolio management: How can we characterize nonlinear patterns in asset pricing? Why do such nonlinear patterns occur and in what contexts? How can we know whether such relationships will persist in the future? And how much is the value added by a nonlinear over a linear model?

These questions cannot be answered by piecing together fundamental prospects based on personal experience and preference, which can be biased, or by torturing the data to make it confess whatever we want (particularly big data, which allows more freedom for data mining). Rather, nonlinear investing should rely on both fundamental insights and quantitative analysis: the former ensures that similar nonlinear patterns will occur in the future and the latter validates the nonlinear pattern with historical data. In this way, quant marries fundamental: a quantamental approach!

The book provides a systematic guide to conducting nonlinear investing through quantamental analysis. The author demonstrates how nonlinear investment strategies, achieving both depth and breadth, add significant value to portfolio performance for different asset classes.

The primary audience for this book is senior professional investors and quant/fundamental investment shops who look for new ideas to enhance their existing products or develop new products. The book will also be helpful to finance faculty and graduate students who are interested in frontier industry practices.

Designs and executes nonlinear investing from factor building to alpha modeling to portfolio construction Combines fundamental and quantitative approaches to provide both depth and breadth in an investment process Uses real industry examples, and shows how to avoid their pitfalls

Autorentext

Lingjie Ma has 15 years of experience developing global multi-asset investment strategies. He has worked in the investment industry both as a head of research and as a portfolio manager, overseeing full-spectrum investment processes and business management. He is now a Clinical Professor in Finance at the University of Illinois Chicago. Dr. Ma is a frequent public speaker on quantitative investing and quantamental strategies.

Inhalt

Chapter 1 Introduction.- Chapter 2 Quantamental Analysis.- Chapter 3 Nonlinear Factor Effects on Returns.- Chapter 4 Nonlinear Alpha Modeling.- Chapter 5 Tail Portfolios.- Chapter 6 Nonlinear Investing: Japan Stock Selection Strategy.- Chapter 7 Nonlinear Investing: Currency.- Chapter 9 Nonlinear Investing: Commodity.- Index.