Nicolas Le Roux

Pimco Europe

Senior Quantitative Researcher

11 baker street

Marylebone

London, W1u 3AH

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Jamil Baz, Nicolas Granger, Campbell R. Harvey, Nicolas Le Roux and Sandy Rattray
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads 9,880 (755)
Citation 1

Abstract:

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Value, carry, momentum, time-series, cross-section, Sharpe ratio, trading strategies, skew, commodities, FX, foreign exchange, equity, fixed income, interest rates, multiple testing

2.

Equity Trading: The Trouble with Value

Number of pages: 16 Posted: 09 Dec 2015 Last Revised: 17 Dec 2015
Jamil Baz and Nicolas Le Roux
Man Group and Pimco Europe
Downloads 320 (133,363)

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Value, Equity, Valuation, Cross-Section, Time-Series, Fed Policy, Overvaluation, Dividend Yield, PE, Tobin's Q