d'Andrimont, Victor
[UCL]
Iania, Leonardo
[UCL]
This Master's Thesis aims to create a systematic investment strategy for the Rivertree Flagship Fund from Puilaetco Dewaay Private Bankers. The goal of this strategy is to make trend following using technical analysis. This strategy aims to outperform in terms of Sharpe ratio a passive buy and hold strategy. The first part is the theoretical part which will lay the foundations on which the practical part is based. The notions of systematic management as well as technical analysis that will mainly be developed in this section. But these different concepts will also be developed: Volatility, the frequency of reallocation of a portfolio, the rules of confirmations, the decorrelated assets of the equity part, and the construction of portfolio. The target is to provide the theoretical basis for developing a model that makes sense at the academic level. The second part is the practical part which is in itself divided into two sub-sections. The first sub-section will detail the practical case and the model that was previously used in the funds management. It will also define all the assumptions and the different objectives that the strategy must respect. In the second subsection, there will be all the development of new research and new strategies that have been tested. Each variable will be independently tested and then all gathered in a global strategy which will also be tested as a whole.
Référence bibliographique |
d'Andrimont, Victor. Development of a systematic investment model using technical analysis that aims to outperform a passive investment strategy in terms of Sharpe ratio over the long term. Louvain School of Management, Université catholique de Louvain, 2019. Prom. : Iania, Leonardo. |
Permalien |
http://hdl.handle.net/2078.1/thesis:20646 |