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Latest Research Paper

An Expanding Market Universe

Inclusion Criteria for Diversified Systematic Portfolios as Illustrated on Generic Trend-Following

Author: Nastja Bethke, Senior Research Scientist
Thomas Feng, CIO – Quantitative Strategies

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Title Author Date  
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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
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Equity Risk ContributionEquity Risk Contribution Graham Capital Management Apr 2019 Download
The Speed of TrendThe Speed of Trend Graham Capital Management 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
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Transaction CostsTransaction Costs Graham Capital Management Jul 2017 Download
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