Research, commentary and ideas from the scientists and partners of Cantab Capital Partners.
Research, commentary and ideas from the scientists and partners of Cantab Capital Partners.
26 July 2017 / Dr Ewan Kirk and Dr Chris Longworth
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.
more8 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?
more11 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 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?
more1 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.
more3 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.
more11 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.
more26 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.
more21 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 scepticism?
more20 April 2015 / Dr Matthew Killeya
Dr Matthew Killeya dispels a few of the most persistent myths about systematic investment management.
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