Sandy Rattray

Man Group plc

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 649

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Top 649

in Total Papers Downloads

64,324

TOTAL CITATIONS
Rank 15,497

SSRN RANKINGS

Top 15,497

in Total Papers Citations

85

Scholarly Papers (12)

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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 14,257 (655)
Citation 1

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.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 9,845 (1,223)
Citation 8

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Crisis hedge, Crisis alpha, Recessions, Flight to quality, Drawdown, Downside risk, Portfolio protection, Portfolio hedging, Insurance, Put options, Option-based hedging, Portfolio insurance, Futures, Trend following, Momentum, Quality, Profitability, Gold, Positive convexity, Safe-haven investments

3.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 8,480 (1,578)
Citation 20

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volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

4.

Strategic Rebalancing

Number of pages: 25 Posted: 17 Feb 2019 Last Revised: 20 Dec 2019
Sandy Rattray, Nicolas Granger, Campbell R. Harvey and Otto Van Hemert
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads 7,267 (2,035)
Citation 4

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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

5.

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 6,755 (2,310)
Citation 11

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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

6.

Trend Following: Equity and Bond Crisis Alpha

Number of pages: 19 Posted: 30 Aug 2016
Carl Hamill, Sandy Rattray and Otto Van Hemert
Man AHL, Man Group plc and Man AHL
Downloads 6,655 (2,375)
Citation 11

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trend following, momentum, crisis alpha, skewness

7.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Otto Van Hemert, Mark Ganz, Campbell R. Harvey, Sandy Rattray, Eva Sanchez Martin and Darrel Yawitch
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 4,309 (5,037)
Citation 4

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Trading strategies, alpha, outperformance, crowding, downside risk, skewness, hitting time, allocation, redemption, Type I error, Type II error, drawdown, Sharpe ratio, structural breaks, Corona crash, COVID-19 crash

8.

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 22 May 2019 Last Revised: 24 Jun 2019
Campbell R. Harvey, Sandy Rattray, Andrew Sinclair and Otto Van Hemert
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 3,212 (8,117)
Citation 19

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Hedge Funds, Systematic Trading, Discretionary Trading, Alpha, Market Efficiency, Risk Factors, Asset Allocation, Algorithm Aversion

9.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Campbell R. Harvey, Edward Hoyle, Sandy Rattray and Otto Van Hemert
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 2,646 (11,002)
Citation 1

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Systemic risk, COVID-19, Pandemic, Drawdowns, Rebalancing, Tail risk, Hedging, Risk management, Volatility targeting, Trend following, Moving-average crossover

10.

Do European Brokers Add any Value Through Recommendations?

Number of pages: 13 Posted: 18 Mar 2010 Last Revised: 12 Apr 2010
Campbell R. Harvey, Sandy Rattray, Joachim Utans and Yasser Mawji
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 331 (191,571)
Citation 3

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Broker recommendations, Analyst forecasts, Best ideas, European brokers, Long recommendations, Short recommendations, Earnings forecasts, Research salesperson

11.

Do Analyst Experience, Location and Gender Affect the Performance of Broker Recommendations in Europe?

Number of pages: 11 Posted: 24 May 2011
Campbell R. Harvey, Khalil Mohammed and Sandy Rattray
Duke University - Fuqua School of Business, AHL Man Systematic Strategies and Man Group plc
Downloads 328 (193,431)
Citation 2

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Analyst recommendations, female analysts, experienced analysts, junior analysts, local analysts, global analysts, local brokers, global brokers, experienced brokers

12.

When European Analysts Disagree, Who Should You Pay Attention To?

Number of pages: 10 Posted: 28 Mar 2010
Campbell R. Harvey, Sandy Rattray, Joachim Utans and Yasser Mawji
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 239 (268,010)
Citation 1

Abstract:

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Analyst Forecasts, Analyst Recommendations, Sell Recommendations, Buy Recommendations, Analyst Disagreement, Consensus Sell, Consensus Buy, Brave Call, Large Brokers, Small Brokers