Quantitative Equity Portfolio Management. Michael J Cooper Associate Professor of Finance Krannert Graduate School of Management Purdue University West Lafayette, IN 47907-1310 [email protected] http://www.mgmt.purdue.edu/faculty/mcooper. Outline of talk.
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, 1993, Journal of Finance 48: 65-91, Narasimhan Jegadeesh and Sheridan Titman.
Lets look at some examples of investment companies that use a quantitative approach.
proc datasets nolist;delete rulesone;
%DO N=1%TO 12; /* month loop*/
%DO I=0 %TO &gridvar1-1;
%DO J=0 %TO &GRIDVAR2-1;
%DO k=0 %TO &GRIDVAR3-1;
%DO L=0 %TO &GRIDVAR4-1;
%DO M=0 %TO &GRIDVAR5-1;
DATA t1TEMP;SET t2TEMP;
IF gridvar1 =&I and gridvar2=&J and gridvar3=&k and gridvar4=&L and gridvar5 =&m and month=&N;
PROC SUMMARY DATA=t1TEMP NWAY FW=9;
VAR MRETV cvar1 cvar2 cvar3 cvar4 cvar5 lcapsum dolvol;
OUTPUT OUT=LONG1 N=WEEKCT MEAN=mretv cvar1 cvar2 cvar3 cvar4 cvar5 lcap dolvol
Thanks for listening to me talk about quantitative equity management.
"Goodness is the only investment that never fails"
H. D. Thoreau
In contrast, quantitative stock selection models do not always beat the market…but they appear to work well over time on average.
These quantitative techniques can be applied to any type of asset.
A number of real firms employ these techniques, as do many hedge funds and large Wall Street firms.