Foreword by Martin Leibowitz
Preface by Sandy Rattray
Chapter 1: Seeking Crisis Alpha
Chapter 2: Can Portfolios Be Crisis Proofed?
Chapter 3: Risk Management via Volatility Targeting
Chapter 4: Strategic Rebalancing
Chapter 5: Drawdown Control
Chapter 6: Man versus Machine
Chapter 7: Out-of-Sample Evidence from the COVID-19 Equity Sellof
Notes
Index
CAMPBELL R. HARVEY is Distinguished Professor of Finance at Duke University and a Research Associate at the National Bureau of Economic Research. He has been an investment strategy advisor to Man Group for fourteen years. His research focus is on risk management in dynamic settings.
SANDY RATTRAY is Chief Investment Officer of Man Group and a member of the Man Group Executive Committee. He previously spent fifteen years at Goldman Sachs where he was Managing Director in charge of the Fundamental Strategy Group.
OTTO VAN HEMERT is the Director of Core Strategies at Man AHL and a member of the Man AHL Management Committee. He has twelve years of experience running systematic trading strategies. Before that he was on the Finance faculty of NYU Stern.
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