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 : 

5 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

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CFM is a signatory of the Women Empowerment Principles.
 

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