Week 3: Thursday 30th March, 17.30 GMT

A session at Online Workshop: Algorithmic Trading Strategies

Thursday 30th March, 2017

5:30pm to 9:00pm

Carry and Value and Portfolio Strategies

When things stay the same

Carry and Roll
P vs Q measures.
Carry as P measure expectation
Calculating Carry and Roll
Instruments: Futures, swaps, bonds, equities, fx, options
Carry strategies and performance

Elements of expected returns, Decompositions, and forecasting.
How much carry can you expect to take home?
What should it really be worth?

What is value?Timeseries and Stationarity vs Horizon
Value Trading, Value Investing, Valuations vs Pricing
Measures of Value:
Equities/Credit value
Securitized transactions
Long-term proxies for value outside equities
Recap: Timeseries – mean-reverting/trending/mean-reverting
Combining lots of things

Measures of performance and risk:
Sharpe, Sortino, Calmar
Skewness, Kurtosis
Downside Measures
Portfolio Strategies
MVO reviewBootstrap methods in MVO
Optimal Shape Ratios, Risk Parity and Min Variance
MVO as regression – tests of optimality
Other Methods
Portfolio Strategy Design
Forecasting vs optimal weights-measurement of ‘goodness’
Objectives without theory – overfitting
Sharpe Ratios – distributions and significance (t stats and asymptotic normality)

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Time 5:30pm9:00pm UTC

Date Thu 30th March 2017

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