How Artificial Intelligence Produced 32% Brexit Returns

Christopher Joye

Coolabah Capital

In my weekly column for The AFR I always like to engage with new investment talent, and my latest missive profiles Dr Desmond Lun, the Australian MIT PhD who is a professor of computer science at Rutgers University in the US and the manger of a systematic quant fund that harnessed artificial intelligence to produce spectacular 32% returns on the day of the Brexit vote. Lun actually leverages literally and figuratively off his research into how we can transform the multiplicative powers of "blue green algae" to create green fuel substitutes for gasoline to find exploitable patterns across US, European and Japanese equities and bonds using Bayesian statistics. His returns have been very strong, albeit with high risk: "Lun's academic life has been spent thinking about how different biological and electronic networks – of which a financial market is but one (arguably hybrid) manifestation – function in order to divine their behaviour." Free (VIEW LINK)

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Christopher Joye
Portfolio Manager & Chief Investment Officer
Coolabah Capital

Chris co-founded Coolabah in 2011, which today runs over $8 billion with a team of 40 executives focussed on generating credit alpha from mispricings across fixed-income markets. In 2019, Chris was selected as one of FE fundinfo’s Top 10 “Alpha...

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