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Statistics Seminar, "Systematic managed futures funds - some statistical and computational aspects", Tobias Ryden, LYNX Asset Management AB


Tid: 2018-11-16 13:15 till: 14:00
Plats: MH:R
Kontakt: dragi [at] maths [dot] lth [dot] se
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A managed futures fund (also called commodity trading advisor, CTA) is a fund that trades futures contracts. In this talk I will first give some basic facts about what futures contracts are, and what opportunities that diversification across assets and risk adjustment over time offer. Making predictions of future price movements is extremely difficult, which I will illustrate, but I will also show how little more than a 50% chance of a correct prediction that is needed to achieve a competitive investment strategy. Traditionally, systematic trading of futures is often done using so-called trend-following (or, price momentum) strategies. I will give examples of such, and then proceed to discussing how they can be used, viewed, and generalized from the perspective of high-dimensional statistical and machine learning thinking. Finally I will also talk about principal components, a method that also has a strong motivation from economics, in the context of managed futures.