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Latest Research Paper

Imbalances, Consolidation, and Choke Points

The evolution of macro trading from global easing to strategic scarcity

Author: Jens Foehrenbach
President and CIO

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Title Author Date  
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In Search of Negative BetaIn Search of Negative Beta Graham Capital Management Jul 2020 Download
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Trend-Following – What’s Luck Got to do with itTrend-Following – What’s Luck Got to do with it Graham Capital Management Jun 2020 Download
Model Interpretability in Machine LearningModel Interpretability in Machine Learning Graham Capital Management Dec 2019 Download
Trading with an EdgeTrading with an Edge Graham Capital Management Sep 2019 Download
Non Linearity of Portfolio OptimizationNon Linearity of Portfolio Optimization Graham Capital Management May 2019 Download
Equity Risk ContributionEquity Risk Contribution Graham Capital Management Apr 2019 Download
The Speed of TrendThe Speed of Trend Mar 2018 Download
Directional and Cross-Sectional Risk PremiaDirectional and Cross-Sectional Risk Premia Graham Capital Management Oct 2017 Download
Tail Risk HedgingTail Risk Hedging Graham Capital Management Oct 2017 Download
Machine LearningMachine Learning Graham Capital Management Sep 2017 Download
The Trendiness of MarketsThe Trendiness of Markets Graham Capital Management Aug 2017 Download
Global Macro Market Diversification & CTA PerformanceGlobal Macro Market Diversification & CTA Performance Graham Capital Management Aug 2017 Download
Market DiversificationMarket Diversification Graham Capital Management Aug 2017 Download
Transaction CostsTransaction Costs Graham Capital Management Jul 2017 Download
Equity Bond CorrelationEquity Bond Correlation Graham Capital Management May 2017 Download
The Search for Portfolio Diversification and Absolute ReturnsThe Search for Portfolio Diversification and Absolute Returns Graham Capital Management Oct 2016 Download
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