Igor Yelnik

ADG Capital Management LLP

Igor Yelnik joined ADG Capital Management LLP in 2013 where he is in charge of a research and portfolio management team responsible for a systematic global macro investment strategy. Prior to that he spent 9 years at IPM Informed Portfolio Management AB (Sweden) where he was a Partner and Head of Portfolio Management and Research. Igor graduated from Leningrad Polytechnic Institute in 1986 where he obtained a masters degree in computer science (diploma with distinction).

Articles by Igor Yelnik

Original research

Speed and dimensions of trading

In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…

03 Jan 2018

Original research

Equal risk allocation with carry, value and momentum

The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.

07 Nov 2016

Original research

Reconciling factor optimization with portfolio constraints

This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.

21 Apr 2016

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