Sandy Rattray

Man Group plc

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 1,618

SSRN RANKINGS

Top 1,618

in Total Papers Downloads

18,590

CITATIONS
Rank 15,582

SSRN RANKINGS

Top 15,582

in Total Papers Citations

32

Scholarly Papers (10)

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 6,205 (1,014)
Citation 10

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 4,264 (1,942)
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.

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
Duke University - Fuqua School of Business, Man Group plc, Realindex Investments and Man AHL
Downloads 1,851 (8,087)
Citation 1

Abstract:

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

4.

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 1,851 (8,087)
Citation 5

Abstract:

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trend following, momentum, crisis alpha, skewness

5.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,436 (12,236)
Citation 5

Abstract:

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

6.

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

Number of pages: 26 Posted: 31 May 2019
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 1,156 (17,159)

Abstract:

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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

7.

Do European Brokers Add any Value Through Recommendations?

Number of pages: 13 Posted: 18 Mar 2010 Last Revised: 12 Apr 2010
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 254 (118,741)
Citation 3

Abstract:

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

8.

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 216 (139,447)

Abstract:

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

9.

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

Number of pages: 10 Posted: 28 Mar 2010
Duke University - Fuqua School of Business, Man Group plc, GLG Partners Inc. and GLG Partners Inc.
Downloads 176 (168,374)
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

10.

Strategic Rebalancing

Number of pages: 19 Posted: 17 Feb 2019
Man AHL, Duke University - Fuqua School of Business, Man Group plc and Man AHL
Downloads 1,181

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