Nicolas Granger

Man AHL

Portfolio Manager

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

3

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12,356

CITATIONS
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SSRN RANKINGS

Top 33,337

in Total Papers Citations

16

Scholarly Papers (3)

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1.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Jamil Baz, Nicolas Granger, Campbell R. Harvey, Nicolas Le Roux and Sandy Rattray
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads 6,544 (933)
Citation 9

Abstract:

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Value, carry, momentum, time-series, cross-section, Sharpe ratio, trading strategies, skew, commodities, FX, foreign exchange, equity, fixed income, interest rates, multiple testing

2.

Rebalancing Risk

Number of pages: 34 Posted: 30 Aug 2014 Last Revised: 04 Oct 2014
Nicolas Granger, Douglas Greenig, Campbell R. Harvey, Sandy Rattray and David Zou
Man AHL, Independent, Duke University - Fuqua School of Business, Man Group plc and Man - AHL
Downloads 4,286 (1,939)
Citation 9

Abstract:

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fixed weights, 60-40, drift weights, constant weights, rebalanced portfolio, rebalancing, negative skewness, negative skew, short straddle, negative gamma, momentum overlay, negative convexity

3.

Strategic Rebalancing

Number of pages: 19 Posted: 17 Feb 2019 Last Revised: 20 Jul 2019
Nicolas Granger, Campbell R. Harvey, Sandy Rattray and Otto Van Hemert
Man AHL, Duke University - Fuqua School of Business, Man Group plc and Man AHL
Downloads 1,526 (11,205)

Abstract:

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Asset Allocation, Smart Rebalancing, Market Timing, Active Management, Buy and Hold, Overlays, 60–40 Portfolio, Balanced Portfolio, Stock-Bond Portfolio, Rebalancing, Drawdowns, Downside Loss, Skewness, Trend, Momentum, Derivatives, Futures, Behavioral Finance