Systematic Profits

Richard D. Bateson

Chapter 4 in Quantitative Hedge Funds:Discretionary, Systematic, AI, ESG and Quantamental, 2022, pp 97-132 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Systematic InvestingThe Main Types of Systematic Hedge FundsCommodity trading advisorsL/S equityOverview of a Typical CTA Trading SystemSystematic Strategy TypesMomentumReversionCarryValueCross-sectionalTimingFundamentalTechnical analysisVolatilitySpread tradingMulti-Market DiversificationMulti-Strategy DiversificationPractical Aspects of Systematic TradingStrategy DevelopmentStrategy conceptionSystem developmentBacktestingPerformance evaluationInternal reviewLive-testingKey Issues with Developing Trading StrategiesOver-fitting and feedbackRegime changeTransaction cost modellingRisk-scalingHuman disciplineGood versus Bad Strategies

Keywords: Hedge Fund; Investing; Investments; Investment Strategies; Discretionary Investing; Trading; Fund Management; Systematic Trading; Systematic Investing; CTA; Long/Short Equity; Equity Factors; Factor Investing; AI; AI Investing; Machine Learning; ESG; ESG Investing; Alternative Data; Quantamental (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 (search for similar items in EconPapers)
Date: 2022
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