Matthew Sargaison

Man AHL

Chief Investment Officer

Sugar Quay

Lower Thames Street

London, EC3R 6DU

Great Britain

SCHOLARLY PAPERS

3

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SSRN CITATIONS
Rank 35,928

SSRN RANKINGS

Top 35,928

in Total Papers Citations

7

CROSSREF CITATIONS

12

Scholarly Papers (3)

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1.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 3,458 (3,202)
Citation 1

Abstract:

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Crisis hedge, Crisis alpha, Recessions, Flight to quality, Drawdown, Downside risk, Portfolio protection, Portfolio hedging, Insurance, Put options, Option-based hedging, Portfolio insurance, Futures, Trend following, Momentum, Quality, Profitability, Gold, Positive convexity, Safe-haven investments

2.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,803 (9,586)
Citation 15

Abstract:

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volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

3.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Michael Cook, Edward Hoyle, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads 1,626 (11,358)
Citation 2

Abstract:

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trend following, quality, momentum, crisis hedge, crisis alpha, futures, equities