ENCORE - Engaging New Controversial Original Rigorous Entertaining
Sadly due to the spread and effect of the Novel Coronavirus in early 2020 this event was postponed. Dr Chris Longworth hopes to deliver this in an on-line format later in 2020.
The LQG is very pleased that Dr Chris Longworth a Senior Scientist in GAM Systematic’s CANTAB will present the March LQG seminar to discuss the challenges of “alternative” markets and “esoteric” assets.
Quant funds have increasingly been looking at less commonly traded markets as a way to enhance systematic returns, with previously obscure markets such as electricity and sunflower seeds starting to attract new interest.These markets can help diversify a portfolio, but can also be challenging. The contracts are typically designed around the needs of the underlying physical participants, which will often conflict with those of the systematic investor. They are typically more expensive to trade and available capacity is much more limited than for traditional investments.
In this talk, Chris will examine some of the trends that have been encouraging firms into this space and will discuss some of the portfolio construction challenges encountered when integrating less liquid markets into a systematic portfolio and how these can be overcome.
Since joining GAM in 2010, Chris’s focus has been on the development and improvement of investment strategies. He led the expansion of Cantab’s tradable universe into new and unconventional markets and is responsible for the portfolio construction techniques used within GAM Systematic Discovery for trading exotic or less liquid assets. Chris was instrumental in the creation of Discovery and leads its continuous research effort. Prior to joining Cantab, Chris was part of the Machine Intelligence Laboratory at Cambridge University, where he obtained MPhil and PhD degrees. He also holds a BSc in Computer Science from Royal Holloway, University of London. He is based in Cambridge.
This event is generously hosted by BlackRock
As usual registration details shall be sent by e-mail to those on the LQG mailing list.