Overview

This dissertation is an internship report for Typhoon Partner, a UK-based proprietary investment firm specializing in the development of quantitative investment strategies. We focus on intra-sector and inter-sector returns relative to the fundamental characteristics of US equities. After a thorough analysis of the basic concepts of risk and the issues involved in risk management, we will first look at the various risk measures associated with each sector (VaR, Expected Shortfall, etc.). Secondly, using the relevant literature, we apply a statistical model to explain cross-asset returns in the equity universe using the financial ratios selected, with the aim of studying the performance of equities within a sector and between several sectors. Finally, we look at the comparison of investment strategies and portfolio insurance.

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