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Nicolas Granger

Man AHL

Portfolio Manager

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

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 AHL and Man - AHL
Downloads 2,849 (1,893)

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

2.

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 AHL
Downloads 0 (1,135)

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