This video 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.

AHL Explains Momentum

Mar 15th, 2023 7m 7s

A simple illustration is used to show how price trends over different time horizons are combined to form a momentum signal.

AHL Explains Series 2 - Breakout Trading

Mar 14th, 2023 5m 51s

Breakout Trading

AHL Explains Series 2 - Maximum Diversification

Oct 18th, 2016 6m 39s

Maximum Diversification

AHL Explains Series 2: Maximum Diversification

Oct 18th, 2016 6m 39s

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.

AHL Explains Series 2 - Optimisation

Oct 11th, 2016 6m 52s

Cross Sectional Momentum Optimisation

AHL Explains Series 2: Optimisation

Oct 11th, 2016 6m 52s

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

AHL Explains Series 2 - Machine Learning

Oct 4th, 2016 6m 2s

Machine Learning

AHL Explains Series 2: Machine Learning

Oct 4th, 2016 6m 2s

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 Emp

AHL Explains Series 2 - Limit Order Books and Trade Execution

Sep 27th, 2016 6m 59s

Limit Order Books and Trade Execution

AHL Explains Series 2: Limit Order Books and Trade Execution

Sep 27th, 2016 6m 59s

In this second instalment, Anthony explores the topic of Limit Order Books and 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 ge

AHL Explains Series 2: Breakout Trading

Sep 20th, 2016 5m 51s

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 a

AHL Explains Portfolio Diversification

Jun 12th, 2015 6m 32s

Portfolio diversification is explained using the simplest possible portfolio and also introduces the concept of re-gearing.

AHL Explains Volatility Scaling

Jun 11th, 2015 6m 30s

This video shows how the effect of a market’s price volatility can be neutralised within the P&L achieved by trading that market.

AHL Explains Risk

Jun 11th, 2015 6m 19s

The subject of portfolio risk is tackled by explaining the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.

AHL Explains Signal Diversification

Jun 11th, 2015 6m 27s

We look beyond the core momentum (trend) signal to provide insight into the technical and fundamental predictors commonly used by CTA and multi-strategy managers.

AHL Explains Futures

Jun 11th, 2015 7m 4s

The main features of futures contracts are used to explain how their cash efficiency is particularly useful in risk-targeting.

AHL Explains Series 1: Cross Sectional Momentum

Apr 27th, 2015 5m 45s

This video 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.

AHL Explains Series 1: Signal Diversification

Apr 20th, 2015 6m 27s

We look 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.

AHL Explains Series 1: Risk

Apr 13th, 2015 6m 19s

The subject of portfolio risk is tackled by explaining the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.