{"id":761,"date":"2017-08-01T20:58:44","date_gmt":"2017-08-01T20:58:44","guid":{"rendered":"http:\/\/quantpedia.com\/?p=761"},"modified":"2025-06-04T14:13:58","modified_gmt":"2025-06-04T12:13:58","slug":"how-julius-baer-mixes-quantitative-investment-strategies","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/how-julius-baer-mixes-quantitative-investment-strategies\/","title":{"rendered":"How Julius Baer Mixes Quantitative Investment Strategies"},"content":{"rendered":"

\n\tRelated to multiple strategies, mainly to Carry, Volatility Selling and Trend-Following strategies …<\/strong><\/p>\n

\n\tAutores:<\/strong> Sepp<\/p>\n

\n\tT\u00edtulo: <\/strong>Diversifying Cyclicality Risk of Quantitative Investment Strategies (Presentation Slides)<\/p>\n

\n\tLink:<\/strong> https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2980708<\/a><\/p>\n

\n\tAbstracto:<\/strong><\/p>\n

\n\tWhat is the most significant contributing factor to the performance of a quantitative fund: its signal generators or its risk allocators? Can we still succeed if we have good signal generators but poor risk management?
\n\t
\n\tWe consider the risk of the skewness and the cyclicality of the key quantitative strategies:
\n\t1. Carry strategies
\n\t2. Volatility strategies
\n\t3. Trend-following strategies
\n\t
\n\tWe then present the two approaches for diversification of the cyclicality risk for a master portfolio of these strategies using:
\n\t1. Top-down allocation
\n\t2. Bottom-up allocation
\n\t
\n\tWe illustrate a few examples using back-tested data using systematic quantitative strategies with risk-based allocators.<\/p>\n

\n\tFragmentos destacados del art\u00edculo de investigaci\u00f3n acad\u00e9mica:<\/strong><\/p>\n

\n\t"<\/p>\n

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\n\t"<\/p>\n\n

\n\n\n\n

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Facebook Grupo<\/a>, Facebook P\u00e1gina<\/a>, Gorjeo<\/a>, LinkedIn<\/a>, Medio<\/a> o YouTube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":"

\n\tRelated to multiple strategies, mainly to Carry, Volatility Selling and Trend-Following strategies …<\/strong><\/p>\n

\n\tAutores:<\/strong> Sepp<\/p>\n

\n\tT\u00edtulo: <\/strong>Diversifying Cyclicality Risk of Quantitative Investment Strategies (Presentation Slides)<\/p>\n

\n\tLink:<\/strong> https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2980708<\/a><\/p>\n

\n\tAbstracto:<\/strong><\/p>\n

\n\tWhat is the most significant contributing factor to the performance of a quantitative fund: its signal generators or its risk allocators? Can we still succeed if we have good signal generators but poor risk management?<\/p>\n

\tWe consider the risk of the skewness and the cyclicality of the key quantitative strategies:
\n\t1. Carry strategies
\n\t2. Volatility strategies
\n\t3. Trend-following strategies<\/p>\n

\tWe then present the two approaches for diversification of the cyclicality risk for a master portfolio of these strategies using:
\n\t1. Top-down allocation
\n\t2. Bottom-up allocation<\/p>\n

\tWe illustrate a few examples using back-tested data using systematic quantitative strategies with risk-based allocators.<\/p>\n

\n\tFragmentos destacados del art\u00edculo de investigaci\u00f3n acad\u00e9mica:<\/strong><\/p>\n

\n\t"<\/p>\n

\n\t\"pic1\"<\/p>\n

\n\t\"pic2\"<\/p>\n

\n\t\"pic3\"<\/p>\n

\n\t\"pic4\"<\/p>\n

\n\t\"pic5\"<\/p>\n

\n\t\"pic6\"<\/p>\n

\n\t"<\/p>\n

\n

\n\tAre you looking for more strategies to read about? Check http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener<\/a><\/strong><\/p>\n

\n\tDo you want to see performance of trading systems we described? Check<\/strong> http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Chart\/Performance<\/a><\/strong><\/p>\n

\n\tDo you want to know more about us? Check<\/strong> http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Home\/About<\/a><\/strong><\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-761","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/761","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=761"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/761\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=761"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=761"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=761"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}