Hilbert Group is an investment company which specialises in quantitative, algorithmic trading strategies in digital asset markets.
Hilbert Capital was recently featured in Alternatives Watch with the launch of Hilbert V30 Fund. The article discusses how the V30 Fund aims to generate a convex trading profile using a dynamic mix of alpha and beta. Also highlighted in the article is the recent additions to the Hilbert team, including Thierry Pudet, formerly of…
Hilbert Capital has recently been featured in Hedge Fund Alert as a leading quantitative asset manager in the digital assets sector. We were happy to be highlighted as an expert on the continued opportunity set which exists for institutional investors in the crypto space, in spite of broader cryptocurrency market trends. Hedge Fund Alert have also highlighted the impressive…
Hilbert Capital CEO Richard Murray’s 300 seconds on the firm’s quantitative trading strategies. This video clip is footage of a Bequant conference held on the 23rd November 2022 which was organised for professional and accredited investors. Watch the full video here:
Hilbert Group CEO, Niclas Sandstrom, was recently featured in MarketWatch, providing insight on the relationship of the US Dollar and crypto, and how institutional investors can approach the opportunity set this may provide. Read the full article here
Hilbert regularly publishes market analyses and peer-reviewed academic articles that study the quantitative-financial workings of markets.
ABSTRACT – In this paper we present a geometric approach to portfolio theory, with the aim to explain the geometrical principles behind risk adjusted returns; in particular Jensen’s alpha. We find that while the alpha/beta approach has severe limitations (especially in higher dimensions), only minor conceptual modifications are needed to complete the picture. However, these…
ABSTRACT In this paper we show that risk associated with leverage is fundamentally relative to an arbitrary choice of reference asset or portfolio. We characterize leverage risk as a drawdown risk measure relative to the chosen reference asset. We further prove that the growth optimal Kelly portfolio is the only portfolio for which the relative…
ABSTRACT In this paper we show that a Kelly trader is indifferent to trade the derivative if and only if the no-arbitrage price is uniquely given by the minimal martingale measure no-arbitrage price, thus providing a natural selection mechanism for option pricing in incomplete markets. We also show that the unique Kelly indifference price results…
ABSTRACT We show that the Kelly framework is the natural multi-period extension of the one-period mean-variance model of Markowitz. Any allocation on the instantaneous Kelly efficient frontier can be reached by trading in the bank account and a particular mutual fund consisting of risky assets only. However, different to the mean-variance model there is an…