Tung-Lam Dao

Capital Fund Management

Researcher

23 rue de l'Universite

Paris, 75007

France

  • Capital Fund Management

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SCHOLARLY PAPERS

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Scholarly Papers (7)

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1.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Benjamin Bruder, Tung-Lam Dao, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Capital Fund Management, Eisler Capital and Amundi Asset Management
Downloads 2,677 (4,312)

Abstract:

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momentum strategy, trend following, moving average, filtering, trend extraction

2.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble, Yves Lemperiere, Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,756 (8,795)

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Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection

3.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads 1,755 (8,808)

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

4.

Momentum Strategies: From Novel Estimation Techniques to Financial Applications

Number of pages: 212 Posted: 26 Nov 2013 Last Revised: 23 Dec 2013
Tung-Lam Dao
Capital Fund Management
Downloads 1,522 (11,084)

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Momentum strategy, L1 filtering, L2 filtering, trend-following, meanreverting, volatility, voltarget, range-based estimator, high-low estimator, microstructure noise, machine learning, support vector machine, regression, classification, stock selection, CTA , Kalman filter, Chi-square distribution.

5.

Systematic Asset Management

Number of pages: 19 Posted: 30 Jul 2018
Tung-Lam Dao
Capital Fund Management
Downloads 265 (113,057)

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Asset Management, Alpha, Beta, Portfolio Construction, Prediction, Risk Management, Value at Risk, Trend Following, Filter, Volatility

6.

Momentum Strategies with L1 Filter

Journal of Investment Strategies 3(4), 1–26
Number of pages: 22 Posted: 16 May 2016
Tung-Lam Dao
Capital Fund Management
Downloads 245 (122,624)

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Momentum strategy, L1 filtering, L2 filtering, trend following, mean-reverting, cross validation

7.

Skew and Implied Leverage Effect: Smile Dynamics Revisited

Number of pages: 12 Posted: 09 Mar 2017
Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud
Ecole Normale Superiéure (ENS), Capital Fund Management and Capital Fund Management
Downloads 90 (279,063)

Abstract:

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skew, implied leverage effect, volatility smile, skew-stickiness ratio