In the final chapter, Anthony builds on the previous Optimisation chapter (which you should watch first) and focuses on constructing the Maximum Diversification portfolio, i.e. the portfolio which captures as much diversification as possible.

AHL Explains

AHL Explains Series 2: Maximum Diversification

In this chapter, Anthony tackles the important methodological topic of Optimisation, and in particular Convex Optimisation, and shows through a worked example how it relates to the portfolio construction problem of maximising return subject to a risk constraint.

AHL Explains Series 2: Optimisation

In the third chapter of the series, Anthony explores some of the different areas within the hybrid discipline of Machine Learning. He uses an example binary classification problem to illustrate the differences between traditional Linear and Empirical approaches and a Bayesian Machine Learning classifier, noting the advantages and weaknesses inherent to each method.

AHL Explains Series 2: Machine Learning

In this second instalment, Anthony explores the topic of Limit Order Books and Trade Execution by giving a simplified look at how trading takes place in exchanges and illustrating the important process by which individual buy and sell orders get matched.

AHL Explains Series 2: Limit Order Books and Trade Execution

In this first chapter, Anthony sheds some light on Breakout Trading, which is one of the most popular systematic strategies and is widely used in trading Equities, Futures and FX Markets. He also notes how key ideas such as volatility scaling and diversification apply here just as for other momentum-style trading systems.

AHL Explains Series 2: Breakout Trading

This video examines cross-sectional momentum, explaining how the basic idea and the strategies that seek to profit from it differ from the time series momentum approach pursued by CTAs.

AHL Explains Series 1: Cross Sectional Momentum

We look beyond the core momentum (trend) signal to provide insight into the technical and fundamental predictors commonly used by Commodity Trading Advisors and multi-strategy managers.

AHL Explains Series 1: Signal Diversification

The subject of portfolio risk is tackled by explaining the familiar industry terms Value at Risk and Expected Shortfall before mentioning the multi-faceted role of risk management.

AHL Explains Series 1: Risk

Portfolio diversification is explained using the simplest possible portfolio and also introduces the concept of re-gearing.

AHL Explains Series 1: Portfolio Diversification

Anthony Ledford goes through the main features of futures contracts and explains how their cash efficiency is particularly useful in risk-targeting.

AHL Explains Series 1: Futures

This video shows how the effect of a market’s price volatility can be neutralised within the P and L achieved by trading that market.

AHL Explains Series 1: Volatility Scaling

A simple illustration is used to show how price trends over different time horizons are combined to form a momentum signal.

AHL Explains Series 1: Momentum

Narrated by Dr. Anthony Ledford, Chief Scientist at Man AHL, our intention is to bring each concept to life by focusing on principles rather than detail. Each video is just a few minutes long and we hope you will find them useful.

hubhopper

AHL Explains

hubhopper