Quant Mashup - Cantab Capital Trend and Carry Everywhere [Cantab Capital]Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system and show how the combination of the two return streams appears very attractive. Summary Trend following in one form or another has been an investment style for decades.(...) You Probably Can't Lose [Cantab Capital]What can an interesting and surprising experiment with finance students and finance professionals tell us about financial decisions and how to maximise extracting returns from low information content systems? Introduction It is well known that humans are bad at estimating probabilities. We(...) Tech is Alpha [Cantab Capital]Cantab's Founding Partner and CTO, Erich Schlaikjer, explores the virtues and complexities of technology, and how good technology is ultimately what allows Cantab to create profits for our investors. Introduction When analysts enumerate the virtues of systematic funds, the first benefit in the(...) Does my Tail Look Fat in This? Part 2 [Cantab Capital]Investors and managers are concerned with “fat tails”. In the second part of this post, we look at kurtosis in more detail. An apology and a warning This piece is more technical and longer than I had expected. The problem we're looking at here is subtle and not easy to distill down to a(...) Does My Tail Look Fat in This? Part 1 [Cantab Capital]Investors and managers are concerned with "fat tails". In part one of a two part article we look at where fat tails come from and how they can be managed. Introduction “Extreme events”, “nonlinear dynamics”, “power laws”, “flash crashes”, “fractal processes”… a lot of(...) The Art of Backtesting [Cantab Capital]Backtesting is at the heart of systematic investment. Done correctly, and it can recreate reality closely enough to identify systematic patterns which are likely to persist in the future. Patterns discovered by a robust backtest can be exploited to generate returns. But there are many subtle(...)