Nicolas Granger

Man AHL

Portfolio Manager

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
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SSRN RANKINGS

Top 2,910

in Total Papers Downloads

12,356

CITATIONS
Rank 33,337

SSRN RANKINGS

Top 33,337

in Total Papers Citations

16

Scholarly Papers (3)

1.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
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
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
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