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AHL Explains
Narrated by Man AHL Chief Scientist Dr Anthony Ledford, this series of educational videos aims to de-mystify quantitative investing.
A simple illustration is used to show how price trends over different time horizons are combined to form a momentum signal.
In this first chapter, Anthony shows how price trends over different time horizons are combined to form a momentum signal.
Released on 02 June 2015
This video shows how the effect of a market’s price volatility could be neutralised within the P&L achieved by trading that market.
In this second chapter, Anthony shows how the effect of a market’s price volatility can be neutralised within the P&L achieved by trading that market.
Released on 09 June 2015
Examination of the features of futures contracts and explanation of how their cash efficiency is particularly useful in risk-targeting.
In the third chapter of the series, Anthony goes through the main features of futures contracts and explains how their cash efficiency is particularly useful in risk-targeting.
Released on 16 June 2015
We explain portfolio diversification using the simplest possible portfolio, whilst introducing the concept of re-gearing.
In this fourth chapter, Anthony tackles Portfolio diversification using the simplest possible portfolio and also introduces the concept of re-gearing.
Released on 23 June 2015
This video explains value-at-risk and expected shortfall, and explores the multi-faceted role of risk management.
In this chapter, Anthony explores the subject of portfolio risk is tackled by the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.
Released on 30 June 2015
A look at the technical and fundamental predictors commonly used by CTAs and multi-strategy managers.
In this chapter, Anthony looks beyond the core momentum (trend) signal to provide insight into the technical and fundamental predictors commonly used by Commodity Trading Advisors and multi-strategy managers.
Released on 07 July 2015
This video examines cross-sectional momentum, explaining how it differs from the time series momentum approach pursued by CTAs.
In the final chapter of the series, Anthony examines cross-sectional momentum, explaining how the basic idea and the strategies that seek to profit from it differ from the time series momentum approach pursued by CTAs.
Released on 14 July 2015
Anthony Ledford discusses breakout trading, a popular systematic strategy used in trading equities, futures and FX markets.
In this first chapter, Anthony sheds some light on Breakout Trading, which is one of the most popular systematic strategies and is widely used in trading Equities, Futures and FX Markets. He also notes how key ideas such as volatility scaling and diversification apply here just as for other momentum-style trading systems.
Released on 20 September 2016
A look at limit order books and trade execution, exploring how trading takes place in exchanges and the process of matching orders.
In this second instalment, Anthony explores the topic of Limit Order Books & Trade Execution by giving a simplified look at how trading takes place in exchanges and illustrating the important process by which individual buy and sell orders get matched.
Released on 27 September 2016
Anthony Ledford explores three approaches to machine learning: linear, empirical and a Bayesian machine learning classifier.
In the third chapter of the series, Anthony explores some of the different areas within the hybrid discipline of Machine Learning. He uses an example binary classification problem to illustrate the differences between traditional Linear and Empirical approaches and a Bayesian Machine Learning classifier, noting the advantages and weaknesses inherent to each method.
Released on 04 October 2016
Anthony Ledford tackles the topic of optimisation, and in particular, convex optimisation.
In this chapter, Anthony tackles the important methodological topic of Optimisation, and in particular Convex Optimisation, and shows through a worked example how it relates to the portfolio construction problem of maximising return subject to a risk constraint.
Released on 11 October 2016
Building on the previous optimization chapter, Anthony Ledford focuses on trying to construct a maximum diversification portfolio.
In the final chapter, Anthony builds on the previous Optimisation chapter (which you should watch first) and focuses on constructing the Maximum Diversification portfolio, i.e. the portfolio which captures as much diversification as possible.
Released on 18 October 2016
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