Rule Based Investing: Designing Effective Quantitative Strategies for Foreign Exchange, Interest Rates, Emerging Markets, Equity Indices, and Volatility

Praise for Rule Based Investing

“This excellent book presents very clear and understandable rules for mitigating the risks on investments designed to earn the risk premiums on volatility and ‘carry’ portfolios. As well known in academia and industry, a naïve strategy of mechanically entering these investments offers a steady stream of small positive returns with occasional disastrously large negative returns. The book presents clear-cut, understandable, and sound sets of rules for attenuating the disasters but still earning nice average returns over time per unit risk. The book is quite suitable for undergraduate and master’s level courses. It should also be a convenient reference and practical guide for academics and practitioners. The tables ...