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Author Archives: Youssef LOURAOUI
Hedge fund diversification
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) discusses the notion of hedge fund diversification by analyzing the paper “Hedge fund diversification: how much is enough?” by Lhabitant and Learned (2002). This article is … Continue reading
Managed futures strategy
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the managed futures strategy (also called CTAs or Commodity Trading Advisors). The objective of the managed futures strategy is to look for market trends across … Continue reading
Dedicated short bias strategy
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the dedicated short bias strategy. The strategy holds a net short position, which implies more shorts (selling) than long (buying) positions. The objective of the … Continue reading
Hedging of the crude oil price
In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) discusses the concept of hedging and its application in the crude oil market. This article is structured as follow: we introduce the concept of hedging in … Continue reading
Posted in Contributors, Financial techniques
Tagged Crude oil, Financial markets, Hedge ratio, Hedging, Oil market
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Modeling of the crude oil price
Modeling of the crude oil price In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) models the market price of the crude oil. This article is structured as follows: we introduce the crude oil market. … Continue reading
Equity market neutral strategy
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the equity market neutral strategy. The objective of the equity market neutral strategy is to benefit from both long and short positions while minimizing the … Continue reading
Fixed-income arbitrage strategy
Fixed-income arbitrage strategy In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the fixed-income arbitrage strategy which is a well-known strategy used by hedge funds. The objective of the fixed-income arbitrage strategy is to … Continue reading
Global macro strategy
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the global macro equity strategy, one of the most widely known strategies in the hedge fund industry. The goal of the global macro strategy is … Continue reading
Interest rate term structure and yield curve calibration
Interest rate term structure and yield curve calibration In this article, Youssef LOURAOUI (Bayes Business School,, MSc. Energy, Trade & Finance, 2021-2022) presents the usage of a widely used model for building the yield curve, namely the Nelson-Seigel-Svensson model for … Continue reading
Posted in Contributors, Financial techniques
Tagged Fixed-income, Interest rate, Yield curve, Yield curve structure
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Minimum Volatility Portfolio
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) elaborates on the concept of Minimum Volatility Portfolio, which is derived from Modern Portfolio Theory (MPT) and also in practice to build investment funds. This article … Continue reading
Arbitrage Pricing Theory (APT)
Arbitrage Pricing Theory (APT) In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the concept of arbitrage portfolio, a pillar concept in asset pricing theory. This article is structured as follows: we present an … Continue reading
Posted in Contributors, Financial techniques
Tagged APT, Asset Pricing, CAPM, Factor Investing, Factors, Market factor
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My experience as an Oil Analyst at an oil and energy trading company
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) shares his experience as an oil market analyst during a summer internship at Petroineos Trading Ltd. About the company Petroineos is a joint venture between PetroChina … Continue reading
Asset allocation techniques
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the concept of asset allocation, a pillar concept in portfolio management. This article is structured as follows: we introduce the notion of asset allocation, and … Continue reading
Quantitative equity investing
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) elaborates on the concept of quantitative equity investing, a type of investment approach in the equity trading space. This article follows the following structure: we introduce … Continue reading
Optimal portfolio
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the concept of optimal portfolio, which is central in portfolio management. This article is structured as follows: we first define the notion of an optimal … Continue reading
Long-short equity strategy
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the long-short equity strategy, one of pioneer strategies in the hedge fund industry. The goal of the long-short equity investment strategy is to buy undervalued … Continue reading
Fama-MacBeth two-step regression method: the case of K risk factors
Fama-MacBeth two-step regression method: the case of K risk factors In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models in the case of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: the stock approach vs the portfolio approach
Fama-MacBeth regression method: the stock approach vs the portfolio approach In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth regression method used to test asset pricing models and addresses the difference when … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: Analysis of the market factor
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. The seminal paper by Fama and MacBeth (1973) was based on an investigation of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth two-step regression method
In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. This article is structured as follow: we introduce the Fama-MacBeth testing method. Then, we … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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