Rule Based Investing: Designing Effective Quantitative Strategies for Foreign Ex

4010

收藏 2015-06-18

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.

Editorial ReviewsFrom the Back CoverUse Rule Based Investment
Strategies To Capture Persistent
Returns With Lower Risk

Rule based investing can help you earn higher risk-adjusted returns with lower costs, replace emotion with discipline, and reduce the risks of capital loss that have shocked “buy and hold” investors. Now, top investment strategist Chiente Hsu offers an elegantly simple rule based framework for earning persistently high returns from a portfolio that is truly and effectively diversified.

Hsu’s approach reflects hard-won insights she gained leading many financial industry most sophisticated quants. But you won’t find any migraine-inducing formulae here. This plain-English book will help you profit from proven rule based investing techniques without their traditional complexity.

You’ll find focused rules for profiting from volatility, momentum, and value opportunities in developed and emerging markets. For each, Hsu presents clear examples designed to hone your intuition, so you can make timelier decisions, avoid more downdrafts, and capture more value.

About the Author

Chiente Hsu (New York, NY) is the founder of Alpha System Advisors, LLC. She was Managing Director and global head of Alpha Strategies at Credit Suisse. From 1998 to 2012, she led a team of Ph.Ds implementing quantitative investment strategies for investors, which included asset management, pension funds, corporates and hedge funds. Dr. Hsu was previously a professor at the University of Vienna, Austria, and a visiting professor at Duke University in North Carolina, 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.

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