Implementing Factor Models in Investment Management

The internship will consist of studying, building, implementing and testing so called factors that are used to characterize the equities, commodities and currencies that the company invests in. These factors can be thought of as characteristics relating a group of securities that is important in explaining their returns and risk. My task will be first to understand the risk factors that are of particular importance to the company’s investment strategy. Following this, I will use literature on the subject to construct proxies, or representations, of these risk factors that can be explicitly defined using quantitative information of different industries. Once this is done I will also build models that involve combinations of many factors as well as test different such models against each other for efficiency. Finally, I will also attempt to design new factors based on knowledge and expertise acquired through literature as well as implementing existing models.

Faculty Supervisor:

Manuel Morales

Student:

Maxime Roussakov

Partner:

Ipsol Capital

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

Program: