Nick Baltas

Imperial College Business School

Visiting Researcher

South Kensington Campus

Exhibition Road

London, SW7 2AZ

United Kingdom

Goldman Sachs International

Head of R&D, Systematic Trading Strategies

Peterborough Court

133 Fleet Street

London, EC4A 2BB

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 1,052

SSRN RANKINGS

Top 1,052

in Total Papers Downloads

24,078

CITATIONS

1

Scholarly Papers (9)

1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 9,038 (512)

Abstract:

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Trend-following, Momentum, Constant-volatility, Volatility-targeting, Trading rules, Pairwise correlations, Diversification, Transaction costs, Turnover

2.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 7,295 (750)
Citation 1

Abstract:

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Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints

3.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Nick Baltas
Imperial College Business School
Downloads 2,783 (4,011)

Abstract:

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Trend-following, Momentum, Inverse-volatility, Risk-parity, Pairwise correlations, Managed Futures, CTA

4.

Multi-Asset Seasonality and Trend-Following Strategies

Bankers, Markets & Investors (Forthcoming)
Number of pages: 24 Posted: 03 Jan 2016
Nick Baltas
Imperial College Business School
Downloads 1,169 (16,646)

Abstract:

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Seasonality, Trend-following, Momentum, Managed Futures, CTA, Commodities

5.

Optimising Cross-Asset Carry

"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29 Posted: 17 May 2017
Nick Baltas
Imperial College Business School
Downloads 1,072 (18,978)

Abstract:

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Carry, Portfolio optimization, Commodities, Risk Budgeting

6.

The Impact of Crowding in Alternative Risk Premia Investing

Financial Analysts Journal, Forthcoming
Number of pages: 29 Posted: 17 Apr 2019
Nick Baltas
Imperial College Business School
Downloads 748 (32,111)

Abstract:

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Crowding, Alternative Risk Premia, Divergence, Convergence

7.

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Journal of Portfolio Management (Forthcoming)
Number of pages: 17 Posted: 16 Aug 2018 Last Revised: 26 Mar 2019
Nick Baltas and Bernd Scherer
Imperial College Business School and EDHEC Business School - Department of Economics & Finance
Downloads 738 (32,384)

Abstract:

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Alternative Risk Premia, Tail Risk, Downside CAPM

8.

Explaining Momentum Strategies Using Intrinsic Price Fluctuations

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 63 Posted: 27 Aug 2011 Last Revised: 07 Jan 2012
Nick Baltas
Imperial College Business School
Downloads 620 (40,936)

Abstract:

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Momentum, Price Trend, Transaction Costs, Stop-Loss, Empirical Mode Decomposition, Ensemble Empirical Mode Decomposition

9.

Forecasting the Equity Risk Premium: The Importance of Regime-Dependent Evaluation

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 19 Jan 2016 Last Revised: 25 Sep 2017
Nick Baltas and Dimitris Karyampas
Imperial College Business School and Bocconi University
Downloads 615 (41,353)

Abstract:

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quity risk premium, predictability, out-of-sample forecasting, economic constraints, predictive regression, asset allocation, business cycles, profitability, trading strategies