8 December 2016 / Dr Ewan Kirk, Dr Tom Gillam
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?
11 October 2016 / Anthony Lawler, Adam Glinsman
Is your diversified portfolio a single factor bet?
Investors in equities and bonds have been
nicely rewarded since the Global Financial
Crisis (GFC) as both asset classes have
rallied substantially since. It has been a
great dual beta trade. But fundamental
investors searching for value opportunities
have, by and large, struggled to outperform
since 2010. Why is that so, and are these
two points related?
1 March 2016 / Erich Schlaikjer
Erich Schlaikjer, explores the virtues and complexities of technology, and how good technology is ultimately what allows Cantab to create profits for our investors.
3 February 2016 / Dr Ewan Kirk
Investors and managers are concerned with “fat tails”. In the second part of this
post, we look at kurtosis in more detail.
11 November 2015 / Dr Ewan Kirk
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.
26 August 2015 / Dr Matthew Killeya and Claus Simon
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.
21 May 2015 / Dr Ewan Kirk
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?
20 April 2015 / Dr Matthew Killeya
Dr Matthew Killeya dispels a few of the myths surrounding systematic investment.
25 February 2015 / Dr Ewan Kirk
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.