An Introduction to Equity Statistical Arbitrage

An Introduction to Equity Statistical Arbitrage

Table of Contents

Equity Statistical Arbitrary – Overview

Pair Trading – An Example

enter exit

Pair Trading – Why Makes Sense

Introduce Factors

Different Types of Factors

Fundamental Factor Model

Fundamental Factor Model

Fundamental Factor Model

Statistical Factor Model

Statistical Factor Model

Risk Model

Risk Model

Portfolio Construction

Portfolio Construction – Sorting Based Approach

Portfolio Construction – Markowitz Approach

Portfolio Construction – Low Beta Anomaly Example

Portfolio Construction – Low Beta Anomaly Example

Portfolio Construction – Low Beta Anomaly Example

‘have not performed as expected’ -

Portfolio Construction – Black-Litterman

Portfolio Construction – Black-Litterman

Price Forecast

Price Forecast – Factor Based Approach

Price Forecast – Factor Based Approach

Price Forecast – Regression Based Approach

Q&A