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Scraping the bottom of the cheese barrel: Alpha from esoteric markets

Seminar by Dr Chris Longworth

13th October 2020 – On-Line

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 to navigate. 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.

Dr Chris Longworth

Dr Chris Longworth is a Senior Scientist at GAM Systematic. Since joining the firm in 2010, Chris’s focus has been on the development and improvement of investment strategies. He led the expansion of GAM Systematic’s tradable universe into new and unconventional markets and is responsible for the firm’s continuous research effort in this space.
Prior to joining GAM Systematic, 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.