The impact of volatility targeting
…, R Korgaonkar, S Rattray, M Sargaison… - Available at SSRN …, 2018 - papers.ssrn.com
Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios
than portfolios with a constant notional exposure. We show that this result only holds for “risk …
than portfolios with a constant notional exposure. We show that this result only holds for “risk …
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed?
…, E Hoyle, S Rattray, M Sargaison… - Available at SSRN …, 2019 - papers.ssrn.com
In the late stages of long bull markets, a popular question arises: What steps can an investor
take to mitigate the impact of the inevitable large equity correction? However, hedging …
take to mitigate the impact of the inevitable large equity correction? However, hedging …
[PDF][PDF] The University of Sheffield's TREC 2004 QA Experiments.
The systems entered by the University of Sheffield in the question answering track of previous
TRECs have been developments of the system first entered in TREC 8 (Humphreys et al., …
TRECs have been developments of the system first entered in TREC 8 (Humphreys et al., …
The best strategies for the worst crises
M Cook, E Hoyle, M Sargaison, D Taylor… - Available at SSRN …, 2017 - papers.ssrn.com
Hedging equity portfolios against the risk of large drawdowns is notoriously difficult and
expensive. Holding, and continuously rolling, at-the-money put options on the S&P 500 is a very …
expensive. Holding, and continuously rolling, at-the-money put options on the S&P 500 is a very …
[HTML][HTML] The Man AHL Academic Advisory Board met to discuss skewness.
… Matthew Sargaison … These distinguished academics were joined by Matthew
Sargaison, Chief Investment Officer of Man AHL, Nick Granger, former Portfolio Manager of …
Sargaison, Chief Investment Officer of Man AHL, Nick Granger, former Portfolio Manager of …
[HTML][HTML] Overfitting and Its Impact on the Investor
CR Harvey - man.com
… These distinguished academics* were joined by Matthew Sargaison, Chief Investment …
Matthew Sargaison (MS): Twenty years ago we were facing different issues - today we have …
Matthew Sargaison (MS): Twenty years ago we were facing different issues - today we have …
[HTML][HTML] What is volatility? Is risk volatility?
A Ledford, CR Harvey, D Yawitch - man.com
… Matthew Sargaison (MS): Scaling by volatility results in more symmetric returns. Moreover,
as investors do care about skewness, trend-following is appealing as it results in better …
as investors do care about skewness, trend-following is appealing as it results in better …
[HTML][HTML] Is momentum behavioural?
A Ledford, CR Harvey - man.com
… Matthew Sargaison (MS): Extrapolation seems a particularly likely explanation, seeing what
happens on trading floors. Traders very early on get taught the two main rules: The trend is …
happens on trading floors. Traders very early on get taught the two main rules: The trend is …
[CITATION][C] Man Group Academic Advisory Board
…, O van Hemert, N Mason, S Puchtler, M Sargaison…
[CITATION][C] Named Entity Information Extraction and Semantic Indexing–Techniques for Improving Automated Question Answering Systems
M Sargaison - 2003 - … , The University of Sheffield, UK. http …