• INSIGHT.DATA.CLARITY. | Illuminating

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• Trend Following: a persistent market anomaly
• Equity Market Neutral portfolios: hedging out market factors
• Explore or exploit? A generic model and an exactly solvable case
• Risk Premia: Asymmetric Tail Risks and Excess Returns
• Endogenous crisis waves: a stochastic model with synchronised collective behavior
• Slow decay of impact in equity markets
• Instabilities in large economies: aggregate volatility without idiosyncratic shocks
• Signal-wise performance attribution for constrained portfolio optimisation
• Two centuries of trend following
• A fully consistent, minimal model for non-linear market impact
• An instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals
• Branching ratio approximation for the self-exciting Hawkes process
• We've walked a million miles for one of these smiles
• Anomalous impact in reaction-diffusion models
• Momentum Strategies with L1 Filter
• Agent-based models for latent liquidity and concave price impact
• Skew and implied leverage effect: smile dynamics revisited
• The fine structure of volatility feedback II overnight and intra-day effects
• A nested factor model for non-linear dependences in stock returns
• Tipping points in macroeconomic agent-based models
• Some applications of first-passage ideas to finance
• A Fokker-Planck description for the queue dynamics of large tick stocks
• Critical reflexivity in financial markets: a Hawkes process analysis
• Eigenvectors dynamic and local density of states under free addition
• Weighted Kolmogorov-Smirnov test: Accounting for the tails
• Crises and collective socio-economic phenomena: simple models and challenges
• Sticky Expectations and the Profitability Anomaly
• A proposal for impact-adjusted valuation: critical leverage and execution risk
• Optimal Trading with Linear Costs
• The joint distribution of stock returns is not elliptical
• Anomalous price impact and the critical nature of liquidity in financial markets
• The price impact of order book events: market orders, limit orders and cancellations
• Why is order flow so persistent?
• Eigenvector dynamics: theory and some applications
• Goodness-of-Fit tests with dependent observations
• Models for the impact of all order book events
• Smile dynamics - a theory of the implied leverage effect: ERRATUM
• How does the market react to your order flow?
• Principal Regression Analysis and the index leverage effect
• Individual and collective stock dynamics: intra-day seasonalities
• The endogenous dynamics of markets: price impact and feedback loops
• Population dynamics in a random environment
• Of Songs and Men: a Model for Multiple Choice with Herding
• Smile dynamics - a theory of the implied leverage effect
• Price Impact
• Theory of financial risk and derivative pricing
• Financial applications of Random Matrix Theory: a short review
• Explaining the forward interest rate term structure
• A shift-optimised Hill-type estimator
• Optimal Time to Sell a Stock in Black-Scholes Model: Comment on 'Thou shall buy and hold'
• Quadratic Hawkes processes for financial prices
• How markets slowly digest changes in supply and demand
• The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
• Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
• What’s what? Long only Smart Beta & equity market neutral Alternative Beta
• The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly
• Risk Premium investing – A tale of two tails
• The misleading nature of correlations
• Alternative Beta Matters - 2015 Q4 Quarterly Report
• The square-root impact law also holds for option markets
• Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
• On the overlaps between eigenvectors of correlated random matrices
• Unravelling the trading invariance hypothesis
• Do investors trade too much? A laboratory experiment
• Optimal Trading with Linear and (small) Non-Linear Costs
• On growth-optimal tax rates and the issue of wealth inequalities
• From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
• Why do markets crash? Bitcoin data offers unprecedented insights
• Sudden trust collapse in networked societies
• On the emergence of an 'intention field' for socially cohesive agents
• Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law
• The fine structure of volatility feedback I: multi-scale self-reflexivity
• Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making
• Invariant β-ensembles and the Gauss-Wigner crossover
• Comment on Turbulent cascades in foreign exchange markets
• Real-world options: smile and residual risk
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Cleaning correlation matrices
• Spatial correlations in vote statistics: a diffusive field model for decision-making
• The (unfortunate) complexity of the economy
• Economics needs a scientific revolution
• Stock price jumps: news and volume play a minor role
• Large dimension forecasting models and random singular value spectra
• Trend followers lose more often than they gain
• Financial applications of Random Matrix Theory: old laces and new pieces
• Theory of collective opinion shifts: from smooth trends to abrupt swings
• The dynamics of financial markets - Mandelbrot's multifractal cascades, and beyond
• Experts' earning forecasts: bias, herding and gossamer information
• A Non-Gaussian Option Pricing Model with Skew
• Option pricing and hedging with minimum expected shortfall
• Comment on Two-phase behaviour of financial markets
• Self-referential behaviour, overreaction and conventions in financial markets
• Multiple time scales in volatility and leverage correlation: A stochastic volatility model
• CTAs in a Regime of Rising Rates
• Alternative Beta Matters - 2016 Q1 Quarterly Report
• An introduction to statistical finance
• Bubbles, crashes and intermittency in agent based market models
• The skewed multifractal random walk with applications to option smiles
• Hedge your Monte Carlo
• Microscopic models for long ranged volatility correlations
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Power-laws in economics and finance: some ideas from physics
• Hedging large risks reduces the transaction costs
• Wealth condensation in a simple model of economy
• Option pricing and hedging with temporal correlations
• Back to basics: historical option pricing revisited
• Elements for a theory of financial risks
• A Langevin approach to stock market fluctuations and crashes
• Taming large events: portfolio selection for strongly fluctuating assets
• Herd behavior and aggregate fluctuations in financial markets
• Financial modeling and option theory with the truncated Lévy process
• Missing information and asset allocation
• Option pricing in the presence of extreme fluctuations
• Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimisation
• Statistical models for company growth
• Path dependent option pricing: the path integral partial averaging method
• Worst fluctuation method for fast value-at-risk estimates
• Rational Decisions, Random Matrices and Spin Glasses
• Universality classes for extreme value statistics
• Random walks, liquidity molasses and critical response in financial markets
• Stiff Field Theory of Interest Rates and Psychological Future Time
• Fluctuations and response in financial markets: the subtle nature of 'random' price changes
• More statistical properties of order books and price impact
• Statistical properties of stock order books: empirical results and models
• Introducing Variety in Risk Management
• More stylized facts of financial markets: leverage effect and downside correlations
• The leverage effect in financial markets: retarded volatility and market panic
• Correlation structure of extreme stock returns
• An empirical investigation of the forward interest rate term structure
• Apparent multifractality in financial time series
• Random matrix theory and financial correlations
• Noise Dressing of Financial Correlation Matrices
• Are financial crashes predictable?
• Phenomenology of the interest rate curve
• Scaling in stock market data: stable laws and beyond
• Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
• Why have asset price properties changed so little in 200 years
• Tail protection for long investors: convexity at work
• Alternative Beta Matters - 2016 Q2 Quarterly Report
• Dissecting cross-impact on stock markets: An empirical analysis
• Price impact without order book: A study of the OTC credit index market
• Agnostic Risk Parity: Taming Known and Unknown-Unknowns
• Alternative Beta Matters - 2016 Q3 Quarterly Report
• Trading lightly: cross-impact and optimal portfolio execution
• Alternative Beta Matters - 2017 Q1 Newsletter
• Alternative Beta Matters - 2017 Q2 Newsletter
• Financial crises: how CFM navigates the markets
• Asset management firms must adapt or die
• The 'Size Premium' in Equity Markets: Where is the Risk?
• Alternative Beta Matters - 2017 Q3 Newsletter
• You are in a drawdown. When should you start worrying?
• Universal scaling and nonlinearity of aggregate price impact in financial markets
• The short-term price impact of trades is universal
• Nonlinear price impact from linear models
• A fractional reaction-diffusion description of supply and demand
• On a multi-timescale statistical feedback model for volatility fluctuations
• Demystifying smart and alternative beta
• Alternative Beta Matters - 2017 Q4 Newsletter
• Mini-symposium on automatic differentiation and its applications in the financial industry
• Black was right: Price is within a factor 2 of Value
• Deconstructing the Low-Vol Anomaly
• Rotational invariant estimator for general noisy matrices
• Monetary Policy and Dark Corners in a stylized Agent-Based Model
• The eigenvectors of Gaussian matrices with an external source
• Buy-side quant of the year 2018 - Jean-Philippe Bouchaud
• Explaining hedge fund index returns
• Executing with impact: why the price you want is not the price you get!
• In-sample overfitting: avoiding the pitfalls in data mining
• Modelling forward looking returns and combining traditional and alternative benchmarks
• Alternative Beta Matters - 2018 Q1 Newsletter
• The Convexity of Trend Following
• Alternative Beta: A strategy that hits the portfolio sweet spot
• Alternative Beta Matters - 2018 Q2 Newsletter
• Co-impact: Crowding effects in institutional trading activity
• Is there a 'new normal' in Volatility Markets?... Probably not!
• North America Spring Seminar 2018
• Improving trade execution systematically
• The real reason to include Trend Following in a portfolio (hint: it’s not as a hedge)
• Welcome to a non-Black-Scholes world
• Is ESG an equity factor or just an investment guide?
• Artificial Intelligence: perspectives from the quant coalface
• Alternative Beta Matters - 2018 Q3 Newsletter
• Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model
• Artificial Intelligence: how CFM uses machine learning to remain at the forefront of asset management
• A new hype or a new hope? Neural networks applied to live market data
• The statistics of random walks: how long can you go and when should you panic?
• Alix Egloff-Guéant named among 50 leading women in hedge funds 2018
• Philippe Jordan appointed to AIMA's Board of Directors
• Making optimisation techniques robust with agnostic risk parity
• CFM Talks To: Prof. Dr. Thorsten Hens
• Alternative Beta Matters - 2018 Q4 Newsletter
• Making fat right tails fatter with trend following... most of the time
• CFM Talks To: Dr. Bruno Dupire
• Understanding the noise that comes with ESG investing
• European Autumn Seminar summary
• Optimal cleaning for singular values of cross-covariance matrices
• Alternative Beta Matters - 2019 Q1 Newsletter
• The real secret behind winning with AI
• Everything you think you know about Risk Premia is wrong
• CFM Talks To: Fiona Reynolds
• The what, why, and decisively, the how of ESG investing
• École Polytechnique launches a research chair with Capital Fund Management (CFM)
• How should you discount your backtest PnL?
• Separating myth from reality in AI
• Packed in like sardines: how crowding in trade flow can adversely affect execution costs
• Alternative Beta Matters - 2019 Q2 Newsletter
• CFM Talks To: Professor Johannes Muhle-Karbe
• Alternative Beta Strategies: The only free lunch in finance
• North America Spring Seminar 2019
• Portfolio Construction Matters
• Optimizing Alternative Beta in a Lower for Longer Environment
• Alternative Beta Matters - 2019 Q3 Newsletter
• CFM Talks To: Emanuel Derman
• On business cycles... and when trend following works
• Constructing a diverse portfolio
• Tess Shih named among 50 leading women in hedge funds 2019
• The evolution of factor investing
• Can alternative beta strategies help in a lower for longer environment?
• CFM launches alternative data initiative with Columbia University’s Program for Economic Research
• Hedge fund CFM says ignore the news
• Factor Investing and Smart Beta
• Is human intelligence redundant in investment management?
• Alternative Beta Matters - 2019 Q4 Newsletter
• CFM Talks To: Robert Engle
• CFM named “Best Offshore Manager operating in Australia”
• The case for long-only agnostic allocation portfolios
• Diversification Underpinned by Science
• Of presidents and heart attacks - Risk control as diversification through time
• European Autumn Seminar 2019
• Alternative Beta Matters - 2020 Q1 Newsletter
• CFM Talks To: Jim O'Neill
• Zooming in on Equity Factor Crowding
• Extracting the news(worthy) from the noise
• Equations and Shape of the Optimal Band Strategy
• Conditional Correlations and Principal Regression Analysis for Futures
• Impact is not just volatility
• Are trading invariants really invariant? Trading costs matter
• Slow decay of impact in equity markets: insights from the ANcerno database
• Econophysics: still fringe after 30 years?
• Crossover from linear to square-root market impact
• The Multivariate Kyle model: more is different
• Deep deterministic portfolio optimisation
• Equity Factors: to short or not to short, that is the question
• CFM Talks To: Stéphane Boujnah
• The Option to Options
• Trend following in the time of Covid-19
• Alternative Beta Matters - 2020 Q2 Newsletter
• 'Lucking Up' - until beta fails
• Spotlight on multi-asset investing
• Material winners and losers in ESG strategies
• V-, U-, L-, or W-shaped recovery after COVID? Insights from an Agent Based Model
• CFM Talks To: Eric Beinhocker
• Quarterly Market Recap - Q3 2020
• Bond equity correlations: are the times a-changin’?
• The Next Level of Alt Data
• Harnessing ESG to drive performance
• Capital Fund Management launches Institutional Systematic Trends Equity Capped UCITS Programme
• Capital Fund Management launches Systematic Global Macro Program
• CFM Talks To: Jack Inglis
• Quarterly Market Recap - Q4 2020
• A systematic approach to global macro
• In Challenging Markets, Systematic Global Macro Strategies Could Hold Opportunity
• Inflation's Potential Big Flip
• Why and how systematic strategies decay
• Is Factor Momentum More than Stock Momentum?
• Finding ESG Trends through Quant
• CFM Talks To: Rado Lipus
• Systematic Global Macro Strategies are a Timely Diversifier
• Marie Legendre named among 50 Leading Women in Hedge Funds 2021
• Inflationary Regimes and Asset Class Performance
• Creating Models That Will Shape the Now and Future of Investing
• CFM Talks To: Olivier Blanchard
• The Hedge Fund Journal profiles CFM's Managed Futures Strategy
• What are 'systematic global macro' strategies? And why they should be considered
• Laurent Laloux speaks to Hedgeweek about the role of technology and alternative data
• Inflationary Regimes and Asset Class Performance - Part 2: Convexity of Trend Following
• A good time for Trend Following … but, then again, it's always been!
• CFM Talks To: Megan Greene
• CFM's views on Shorts and Derivatives
• A Strategy for All Seasons (including Inflation)
• A Good Time for Trend Following
• Using the Yield Curve to Forecast Recessions ... do you feel lucky?
• CFM hires Chief Technology Officer

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