Multi-signal based model to trade duration a macro hedge fund strategy
Bonato, Umberto (A.A. 2023/2024) Multi-signal based model to trade duration a macro hedge fund strategy. Tesi di Laurea in Fixed income, credit and derivatives, Luiss Guido Carli, relatore Alberto Cybo-Ottone, pp. 83. [Master's Degree Thesis]
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Abstract/Index
The importance of geographical diversification and bets de-correlation. The trading model. Methodology. The benchmark. Equity momentum. Bond momentum. IBES earnings revision ratio momentum. OECD composite leading indicator index momentum. Slope value. Real yield relative value. The combined strategy. FX risk management. Open FX rates model. Fully hedged model. Hedging strategy model.
References
Bibliografia: p. 82.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Fixed income, credit and derivatives |
| Thesis Supervisor: | Cybo-Ottone, Alberto |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2023/2024 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Jul 2025 10:03 |
| Last Modified: | 03 Jul 2025 10:03 |
| URI: | https://tesi.luiss.it/id/eprint/42735 |
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