Friday, May 25, 2018Weekly Manager Views
Please find below the notes from GAM’s Weekly Investment Meeting on 23 May 2018 – this week’s speaker was Camilla Schelpe, commentating on the development of an options-based risk management approach
Thursday, August 31, 2017Trend Is Not Your Only Friend
Simple rules on macro assets can create very attractive returns. We present a simple Trend system and a simple Carry system in which the combination of the two return streams appears very attractive.
Thursday, August 31, 2017Trend and Value - A Dynamic Duo
Our belief has been and continues to be that Trend and Value are complementary strategies and, in the long run, are stronger than the sum of their parts when managed as an integrated product.
Tuesday, May 23, 2017Comma Separated Vexation
As featured in HFM Technology, Tom Howat, Tom Howat, Chief Technology Officer at GAM Systematic I Cantab, discusses the need for greater standardisation when communicating trades.
Thursday, December 08, 2016You Probably Can't Lose
What can an interesting and surprising experiment with finance students and finance professionals tell us about financial decisions and how to maximise extracting returns from low information content systems?
Friday, November 25, 2016Machine Learning Masterclass
Computers can now drive cars more safely than humans and beat world champions at games as complex as chess and Go. So can they, and should they, be let loose with investment portfolios? We bring together two experts to discuss the potential and the limits of machine learning. (Source: Asset TV)
Wednesday, February 03, 2016Does my Tail Look Fat in This? Part 2
Investors and managers are concerned with “fat tails”. In the second part of this post, we look at kurtosis in more detail.
Wednesday, November 11, 2015Does my Tail Look Fat in This? Part 1
Investors and managers are concerned with "fat tails". In part one of a two part article we look at where fat tails come from and how they can be managed.
Wednesday, August 26, 2015The Art of Backtesting
Backtesting is at the heart of systematic investment. Done correctly, and it can recreate reality closely enough to identify systematic patterns which are likely to persist in the future. Patterns discovered by a robust backtest can be exploited to generate returns. But there are many subtle pitfalls to be avoided, and this is where the best researchers earn their salt.
Thursday, May 21, 2015Algorithm Aversion
Investors in general are sceptical of systematic trading. Why could this be? Long term performance seems to indicate that the performance of models is at least as good as that of humans. So why the scepticsm?
Saturday, April 25, 2015Debunking the Myths
Dr Matthew Killeya dispels a few of the myths surrounding systematic investment.
Wednesday, February 25, 2015Cursed by Randomness
For all investors there has always been a strong desire to “pick winners” or beat the market. In the presence of randomness this can be extremely challenging.