Internship research - Fundamental ratios : relevance for returns and correlation structure

ABOUT CFM

Founded in 1991, we are a global quantitative and systematic asset management firm applying a scientific approach to finance to develop alternative investment strategies that create value for our clients.

We value innovation, dedication, collaboration, and the ability to make an impact. Together, we create a stimulating environment for talented and passionate experts in research, technology, and business to explore new ideas and challenge existing assumptions.

Objective:

The internship aims to replicate and extend the findings from the paper "Does Peer-Reviewed research Help Predict Stock Returns?" by analyzing all fundamental ratios, assessing their correlation structure and learning which ones are relevant.

Scope of Work:
Interns will engage in the following activities:

1. Paper Replication: Manipulate data in Pandas to compute the fundamental ratios. Use Machine Learning methods to learn relevant ratios.
2. Extension: Understand the mode space of fundamental ratios via Principal Component Analysis and other methods.

Required Skills and Qualifications:

• Pursuing a masters degree in Finance, Economics, Data Science, or a related field
• Familiarity with financial analysis and data management tools
• Basic understanding of machine learning concepts
• Proficiency in Python or similar programming languages for data analysis

Expected Outcomes:

• A comprehensive report on the replication of the paper "Does Peer-Reviewed research Help Predict Stock Returns?"
• Deeper insights into fundamental ratios

Duration :

4 to 6 months - Flexible starting date

Reference:

Chen, Andrew Y. and Lopez-Lira, Alejandro and Zimmermann, Tom, Does Peer-Reviewed Research Help Predict Stock Returns? (October 27, 2023). Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, Available at SSRN: https://ssrn.com/abstract=4308069 or http://dx.doi.org/10.2139/ssrn.4308069

EQUAL OPPORTUNITIES STATEMENT

We are continuously striving to be an equal opportunity employer and we prohibit any discrimination based on sex, disability, origin, sexual orientation, gender identity, age, race, or religion. We believe that our diversity, breadth of experience, and multiple points of view are among the leading factors in our success.

CFM is a signatory of the Women Empowerment Principles.

FOLLOW US

Follow us on Twitter or LinkedIn or visit our website to find out more about CFM.