Man AHL created the AHL Explains video series in an effort to demystify quantitative investing through an engaging and user-friendly medium. The videos seek to bring essential quantitative investing concepts to life through illustrations and graphics, and explain the key concepts in futures trend following in a simple and accessible way.
This first of seven videos looks at time series momentum systems, which determine long or short positionings on securities based on their performance over recent time series. For example, if a security had been up (“+1”) over the past week, down (“-1”) over the past two weeks, down (“-1”) over the past month, and down (“-1”) over the past two months, then a simple momentum system that used one week, two weeks, one month, and two months in its time series would have a “final score” of -2. This, in Man AHL’s example, might indicate a “partly short” positioning, whereas scores of +4 and -4 would indicate fully long and fully short positionings, respectively. The idea behind momentum investing is that there is “persistency” in price movements.
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