Behavioural Quantitative Management

The strategies take positions in currency pairs, futures and stocks with systematic entry and exit strategies that make algorithmic execution possible. Each position is appropriately sized given the correlations with the rest of the positions in the portfolio, the recent risk and the long term risk.

The IMC asset management Behavioral Quantitative team has significant experience in identifying behaviour that is measurable and has a consistent impact on prices. Signals informing the positions are derived from quantitative analysis of the actual buying and selling decisions of groups of investors. The research aims to decompose the investment flows into components that push the price, and components that do not affect the price.

The behavioral strategies that result tend to be uncorrelated to each other, even within one asset class, as the information used to trigger the trades comes from different spectra of behaviour for each strategy. This lack of correlation leads to an attracive risk return relationship, and low correlations with other asset classes, including multiple hedge fund styles.

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