Major investment institution
Fathom Financial Consulting was asked by one of its major institutional clients to contribute trading ideas regularly to the client’s absolute return fund managers.
These ideas were to be based on sound, cutting-edge econometric analysis and were to be rigorously tested out of sample.
The presentation attached describes one of these ideas, which uses cointegration methods to derive a high-return long-short portfolio based on three European equity markets.
The portfolio is back tested and its risk characteristics are thoroughly investigated using numerical simulation techniques that are consistent with the estimation methods.
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