Tung-Lam Dao

  Highlights of recent research

• "Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies", Amundi White Paper series (2017).
Collaborators: Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli.

Abstract Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood. Many publications on this topic are therefore based on backtesting and empirical results. However, some academic studies have developed a theoretical framework that allows us to understand the behavior of such strategies. In this paper, we extend the model of Bruder and Gaussel (2011) to the multivariate case. We can find the main properties found in academic literature, and obtain new theoretical findings on the momentum risk premium. In particular, we revisit the payoff of trend-following strategies, and analyze the impact of the asset universe on the risk/return profile. We also compare empirical stylized facts with the theoretical results obtained from our model. Finally, we study the hedging properties of trend-following strategies.

• "Tail protection for long investors: Trend Following at work", Journal of Investment Strategies (2017).
Collaborators: Trung-Tu Nguyen, Cyril Deremble, Yves Lemperiere, Jean-Philippe Bouchaud, Marc Potters.

Abstract The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the positive convexity of the aggregate performance of Commodity Trading Advisors (CTAs) which -- when adequately measured -- turns out to be much stronger than anticipated. We also highlight interesting connections with so-called Risk Parity portfolios. Finally, we propose a new portfolio of strangle options that provides a pure exposure to the long-term variance of the underlying, offering yet another viewpoint on the link between trend and volatility.

  Recent presentations

• Presentation at Metori Capital Management: Convexity of Trend following and Variance Arbitrage. (Dec. 2017)

Presentation at VNFinance conference: Systematic Asset Management. (Jun. 2018)

Capital Fund Management (CFM) S.A., Paris, France

Portfolio Manager, VolDir & ISP (volatility) funds, 3/2017 - 9/2017.

Research Manager, VolDir (volatility) fund, 5/2012 - 3/2017.

Roles: Alpha and Portfolio construction, Developer of IT-Simulation platform.

Specialties: Theoretical aspects of time-series filtering and portfolio allocation

Lyxor Asset Management, Paris, France

Research Fellow, 4/2011 - 11/2011

Linear and non-linear filter (L1, L2, SVM) for momentum strategies.

Range based estimation of volatility, two timescale estimation of intraday volatility.

Analysis of CTA performance based on risk-return framework.

Optical Institute, Paris, France              

Research Fellow, 4/2011 - 11/2011

Ecole Polytechnique, Palaiseau, France

Research Fellow, Physics, 10/2008 - 8/2009

  Papers in Finance

• Systematic Asset Management (2018).
• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies, Amundi White Paper series (2017).
• Trends and Risk Premia: Update and Additional Plots, online version arxiv (2017).
• Tail protection for long investors: Trend Following at work, Journal of Investment Strategies (2017).
• Skew and implied leverage effect: smile dynamics revisited, Int. J. Theor. Appl. Finan (2014).
• Momentum Strategies with L1 Filter, Journal of Investment Strategies 3(4), 126 (2013).
• Trend Filtering Methods For Momentum Strategies, Lyxor White Paper Series, issue 8 (2011).
• Momentum Strategies: From novel Estimation Techniques to Financial Applications, Master thesis, Paris 7 (2011).

  Papers in Physics

• Two-component Bose gases with one-body and two-body couplings, Physical Review A 88 (2013) 063646.
• Mott transition of fermionic mixtures with mass imbalance in optical lattices, Phys. Rev. A 85, 013606 (2012).
• Thermometry and signatures of strong correlations from Raman spectroscopy of fermionic atoms in optical lattices, Phys. Rev. A 81, 063618 (2010).
• All-optical pump-and-probe detection of dynamical correlations in a two-dimensional Fermi gas, Phys. Rev. A 81, 043626 (2010).
• Probing quasi-particle states in strongly interacting atomic gases by momentum-resolved Raman photoemission spectroscopy, Phys. Rev. A 80, 023627 (2009).
• Polarized superfluidity in the attractive Hubbard model with population imbalance, Phys. Rev. Lett. 101, 236405 (2008).
• Competing superfluid and density-wave ground-states of fermionic mixtures with mass imbalance in optical lattices, Phys. Rev. B 76, 104517 (2007).
• Measuring the one-particle excitations of ultracold fermionic atoms by stimulated Raman spectroscopy, Phys. Rev. Lett. 98, 240402 (2007).
• Strongly-correlated ultracold atoms in optical lattices, PhD thesis, Ecole Polytechnique (2008).