Daniel Leveau

SigTech

338 Euston Road

London, NW1 3BT

United Kingdom

http://sigtech.com

SCHOLARLY PAPERS

11

DOWNLOADS

1,418

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (11)

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1.

A Guide to Trend Following Strategies

Number of pages: 8 Posted: 18 May 2023
Stuart Broadfoot and Daniel Leveau
SigTech and SigTech
Downloads 411 (120,174)

Abstract:

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trend following, CTA, RSI, MACD, L1 filter, volatility smile

2.

(R)Evolution of Financial Theory

Number of pages: 7 Posted: 03 Oct 2011
Daniel Leveau, Patrick Gander and Magne Orgland
SigTech, Independent and 1741 Asset Management
Downloads 323 (156,468)

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Financial theory, efficient market hypothesis, behavioural finance, adaptive market hypothesis, theory of rational beliefs, pricing model uncertainty

3.

Alternative Risk Premia Primer

Number of pages: 17 Posted: 25 May 2023
Daniel Leveau and Navdeep Sahote
SigTech and SigTech
Downloads 232 (218,858)

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risk premia, alternative risk premia, carry, momentum, volatility, value, tail risk

4.

Diversification - A Multi-Facetted Concept

1741 Asset Management Research Note Series 1/2013
Number of pages: 9 Posted: 21 Jan 2013
Patrick Gander, Daniel Leveau and Thomas Pfiffner
Independent, SigTech and 1741 Asset Management
Downloads 209 (241,349)
Citation 1

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indexing, alternative indexing, alternative beta, diversification

5.

Alternative Beta: Point of Reference - Does it Matter?

Journal of Investment Strategies, Winter 2012/13, Vol. 2, No. 1, pp. 103-109
Number of pages: 5 Posted: 19 Jun 2012 Last Revised: 22 Jan 2013
Daniel Leveau, Patrick Gander and Thomas Pfiffner
SigTech, Independent and 1741 Asset Management
Downloads 164 (299,070)

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alternative beta, alterantive indexing, point of reference

6.

An Overview of Tail Risk Strategies

Number of pages: 4 Posted: 18 May 2023
Daniel Leveau
SigTech
Downloads 32 (751,526)

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tail risk, downside protection, VIX

7.

How Custom Indexing Is Disrupting Index and ESG Investing

Number of pages: 5 Posted: 18 May 2023
Daniel Leveau
SigTech
Downloads 27 (790,147)

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indexing, custom indexing, ESG, digitisation

8.

Is intraday data the key to better volatility estimation?

Number of pages: 6 Posted: 18 May 2023
Sam Foster and Daniel Leveau
SigTech and SigTech
Downloads 20 (850,226)

Abstract:

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volatility, intraday, GARCH, GJR-GARCH, forecasting

9.

Quant Investing: Common Concerns

Posted: 08 May 2023
Daniel Leveau and Peter Huber
SigTech and SigTech

Abstract:

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quant, quantitative, systematic, discretionary

10.

Alternative Beta: Catergorisation of Indices - Do All Roads Lead to Rome?

The Journal of Index Investing, Winter 2012, Vol. 3, No. 3, pp. 12-17
Posted: 17 Aug 2012 Last Revised: 22 Jan 2013
Daniel Leveau, Patrick Gander and Thomas Pfiffner
SigTech, Independent and 1741 Asset Management

Abstract:

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Alternative beta, beta sources, alternative indexing, beta

11.

(R)Evolution of Indexing Methods - Why Diversification Was Forgotten?

The Journal of Index Investing, Vol. 3, No. 1, p. 62-77
Posted: 04 Oct 2011 Last Revised: 26 Jun 2012
Daniel Leveau, Thomas Pfiffner and Patrick Gander
SigTech, 1741 Asset Management and Independent

Abstract:

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Alternative indexing methods, passive investments, alternative beta, index