Must-Watch: Dr. Ernest Chan’s Ultimate Guide to Mean Reversion Trading!
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 Published On Sep 16, 2020

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Mean Reversion Trading Strategy: Mean reversion trading strategies, similar to short volatility strategies, perform well in calm and bullish markets but face significant tail risks and can suffer greatly during financial crises. In this tutorial, Dr. Chan discusses how their fund, QTS Capital Management, both benefited and suffered from a mean reversion strategy, and the steps they took to mitigate such tail risks.

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This is the first webinar of our #10YearsOfQuantInsti series.
Mean Reversion Trading Strategy: These strategies share characteristics with short volatility strategies, excelling in calm and bullish markets but suffering in financial crises. In this session, Dr. Chan will discuss the experiences of QTS Capital Management with mean reversion trading and how they mitigated tail risks.
About Dr. Ernest Chan: Dr. Chan is a globally renowned speaker on computerized trading. He has conducted numerous educational sessions worldwide and authored three books on Quantitative, Algorithmic, and Machine Trading, forming primary literature for traders and aspiring quants.

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About the speaker: Dr. Ernest Chan is the Founder & CEO of PredictNow.ai Inc and a Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Dr. Chan received his PhD in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He was a co-founder and principal of EXP Capital Management, LLC, a Chicago-based investment firm.

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Chapters:
0:00 - Speaker Introduction
1:27 - Tutorial Overview
2:27 - FX Mean Reversion Strategy
8:47 - Characteristics of Mean Reversion Strategies
14:27 - Risk Mitigation of Mean Reversion Strategies
20:57 - Tail Hedge Strategies
22:57 - Diversification
29:33 - Achievement
30:17 - Conclusion
32:03 - Q&A about Mean Reversion

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