A Discussion with Head of Research of Beach Horizon, Dr. Paul Netherwood.
Dr. Netherwood spent four years in the Nineties in trading systems research and development at AHL (Adams, Harding and Lueck, now part of Man Group), and for the last 9 years he has been at Beach Capital Management and Beach Horizon LLP, a systematic fund management partnership. Beach Horizon is based in the City of London.
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Part One (Link Here) (15 minutes)
0.00 Introduction to Beach Horizon and sytematic CTAs
5.50 Portfolio construction and diversification including milk and pork bellies
9.20 Targets for outputs return and volatility
10.50 Upside volatility
11.55 Margin-to-equity as a proxy for risk
Part Two (Link Here) (13 minutes)
0.00 The team - an advantage in being able to tap into a trader with a discretionary background for idea creation and assessing research ideas.
4.45 An FX research project
6.20 Prioritising research, co-opting the sciences
7.35 Research productivity
10.00 People power - intellect is not scalable
12.05 Beyond trend-following - different frequencies
Part Three (Link Here) (8 minutes)
0.00 Different time horizons of investors - a dominant frequency
1:06 Performance of CTAs in 2008
3.40 Performance in 2009
5.06 Current Drawdown - when will we see outperformance of CTAs? Influence of QE?
Drawdown Analysis for Beach Horizon May 2005 to December 2009
Source: Beach Horizon Database
My thanks go to Dr. Paul Netherwood for his contribution to this podcast.
Thanks for posting this. As a newly-minted CTA, it's nice to hear a seasoned pro sharing this kind of information, and confirming that a lot of my assumptions aren't unrealistic.
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