AHL Explains Video Podcast

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.

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

Breakout Trading

Maximum Diversification

Cross Sectional Momentum Optimisation

Machine Learning

Limit Order Books and Trade Execution

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

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

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.

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.

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