Note Are markets becoming more unstable?
Readers of financial news may believe that ‘market corrections’, or ‘shocks’, or ‘five-sigma events’ are more common than they used to be. Winton Capital Management look at the historical data for a number of financial markets and find that there is no evidence for increasing (...)
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News The year 2016 gets off to a great start for CTAs
Year to date, most alternative strategy performance are negative. Despite this challenging environment, CTAs have recorded an excellent start since the beginning of the year. According to Credit Suisse, CTAs posted a gain of 7.38% in late February 2016, the strongest (...)
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News A Taste of Summer for Hedge Funds
The winning streak for hedge funds continued last week with all strategies, besides CTAs, benefitting from the stabilization of market conditions. The Lyxor Hedge Fund Index was up 0.5%, bringing the month to date performance to a solid (...)
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Innovation GAM launches GAM Systematic Global Equity Market Neutral
The GAM Systematic Global Equity Market Neutral fund uses systematic strategies and proprietary trading systems to invest in global single-name equities. Designed to deliver returns uncorrelated with a long-only equity (...)
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Interview François Lhabitant : «We have received dozens of proposals but only one long / short manager passed our selection ! »
Established in 2001, Kedge Capital manages the assets of the Bertarelli family. The company invests successfully nearly $ 6 billion in hedge funds, for a net return of 6.7% annually since its inception...
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Strategy An example of Quantitative Strategy: The Low Volatility approach
Low volatility indices and, more broadly, products based on quantitative strategies aiming to select only low-volatility stocks, have met with growing success with the financial community and investors. However, most of these indices have major drawbacks that cannot always (...)
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Note Hedge funds: The CTAs drift
Since mid-2011, CTAs cumulative loss is between -10.6% (HFRI macro systematic index) and -16.8% (Credit Suisse Managed Futures Index). For the first quarter of this year, CTAs show a drawdown of about 3% which is expected to increase in April (-0.66% for HFRX CTA index) (...)
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Strategy Alternative risk premia weathering Brexit storm well
Pierre-Yves Moix, co-manager of the Alternative Risk Premia strategy at GAM, comments on how the growing alternative risk premia industry has delivered strong performance in the uncertain Brexit environment – proving once again its strong diversification and market neutral (...)
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News Systematic strategies are back
For the second month in a row, CTAs outperformed hedge fund strategies in April. According to the Lyxor CTA peer group, the strategy was up +1.6% in April, which brings the year-to-date performance close to +5%.
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Strategy Managed futures strategies
This type of strategy is based on a simple idea: try to take advantage of an exposure on futures contracts («Futures») with the underlying being a financial instruments or a commodity ...
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Interview Arnaud Chrétien and Serge Darolles : «The objective of QuantValley is to become the calling card for French Quantitive management»
Challenges, positioning and quantative management outlook in France. Arnaud Chrétien and Serge Darolles, respectively Chairman and deputy chairman of QuantValley, answer our questions and introduce us to their project aimed at promoting Paris’ image as a city of (...)
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Strategy “Guru” strategy: back to basics with a quantitative equity strategy
As its name so aptly suggests, a “Guru” strategy combines the expertise we have gleaned from history’s greatest fund managers with the advantages of quantitative investment management.
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Interview Cyrille Collet: « If the systematic model is the heart of our process, our quantitative equity portfolio management advocates expertise of managers»
We believe that the best way to structure an investment strategy is an approach combining systematic quantitative analysis and critical analysis of the manager. A strong belief in CPR AM we call as "quantitative human (...)
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Opinion Overview of Quantitative Finance in France
A short review of quantitative finance in France under the lens of the Next Finance website: Profile of quants, origins and outlook of the industry.
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Opinion Quantitative management: the THEAM way
At THEAM, a subsidiary of the BNP Paribas Group, our development strategy involves promoting the added value that quantitative techniques can bring to the field of asset management.
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