The Importance of Trading Cost and Execution Management to Avoid Decay in Investment Strategies

Date: 
30 Nov 2016
Speaker: 

Dr Philip Seager

Location: 

The Portside Centre
Level 5, 207 Kent St, Sydney

Event type: Presentation followed by discussion

Speaker: Dr Philip Seager

Head of Alternative Beta Strategies at CFM, Dr. Seager oversees the ISDiversified Alternative Beta portfolio at CFM. During his 15 year tenure with CFM, he has been involved in a broad range of research topics, and led the Directional Strategies Research team for ten years prior to his current role. He joined CFM from the European Centre for Nuclear Research (CERN), where he worked on the search for the charged Higgs boson.

Topic: The Importance of Trading Cost and Execution Management to Avoid Decay in Investment Strategies

Abstract: Generally, in implementing any systematic strategy, the importance of trading techniques is critical to reduce trading frequency and, hence, cost. Methods for slowing our trading inevitably reduce expected Sharpe Ratios slightly, but the corresponding gain from the reduction in costs far exceeds the loss in theoretical Sharpe Ratio. These elements of portfolio tuning are, we believe, crucial to running a successful Alternative Beta program.

As per usual, the event is free for all current members of Q-Group. Several of us will likely head out for a few drinks after the event and continue the discussion. For those who are interested, this should be a fun opportunity for networking and intermingling between finance academics, practitioners, and the public sector. If you can confirm attendance at this point, then please rsvp using the following link:

mailto:qrsvp@qgroup.org.au?subject=I_am_coming_to_the_November_30_CFM_event

We look forward to seeing you on the day.

Q-Group Committee

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