8,272 reputation
2260
bio website wingedfootcapital.com
location New York
age 35
visits member for 3 years
seen May 27 at 18:53

Quantitative Equity Portfolio Management research with a focus on market-neutral and long/short investing strategies. Focus is on systematic, multi-disciplinary, and hypothesis-based approaches to alpha generation and risk control across regimes.

Previous roles: Fixed income credit portfolio decisioning at a major bank/broker-dealer, Management Consulting in Financial Services, Columbia Economics, and Machine Learning. Live and work in NYC.

All posts and comments represent my views and not that of my employer. email: ram - at - wingedfootcapital . com

My favorite answers:

How do you mix quantitative asset allocation with qualitative views?

Empirical or theoretical insights that have shaped your thinking

Why is the first principal component a proxy for the market portfolio?

How do I graphically represent the evolution of a covariance matrix over time?

Which approach dominates? Mathematical modelling or data mining?


Nov
29
awarded  Nice Answer
Nov
29
comment Bootstrapping first, then data mine?
Great point re: preserving the auto and cross correlations. Block bootsrap method discussed by Stambaugh appears effective in that regard but it seems to me that the research on the best bootstrapping method is not definitive
Nov
21
answered portfolio optimization from empirical return distributions
Nov
6
revised Rank Correlation Based Prediction
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Nov
6
answered Rank Correlation Based Prediction
Oct
10
awarded  Popular Question
Oct
9
reviewed Approve Trading a synthetic replication of the VIX index
Oct
6
revised How to properly cross-validate when optimizing SVM classification?
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Oct
6
answered How to properly cross-validate when optimizing SVM classification?
Oct
6
revised Can money technically flow in and out of stocks or asset classes?
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Oct
6
answered Can money technically flow in and out of stocks or asset classes?
Sep
28
comment Comparing MVO with Resampled Efficient Frontier
The best is probably Michaud's original text. Markowitz himself has some positive remarks: pionline.com/article/20031222/PRINTSUB/312220715 Of course, Markowitz's comments were before Scherer's systematic take-down so take it with a grain of salt. My view - there are better alternatives out there.
Sep
28
revised Comparing MVO with Resampled Efficient Frontier
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Sep
28
answered Comparing MVO with Resampled Efficient Frontier
Sep
25
answered Library of basic indicators
Sep
21
awarded  Custodian
Sep
18
comment Markowitz mean-variance optimization as “error maximization”
@John - Take a look at "Robust Portfolio Construction" by Bernd Scherer who has a takedown of Michaud's resampling technique on theoretical grounds (namely that it is not Bayesian although it smells like bootstrapping): papers.ssrn.com/sol3/papers.cfm?abstract_id=796625
Sep
17
comment Markowitz mean-variance optimization as “error maximization”
+1. There's alao a 2006 paper by Sebatian Ceria and Robert Stubbs that also illustrates this with an example. They both are at Axioma so you can also find some more research there.
Sep
16
revised Does amortization of bond start accumulating on trade date or settlement date?
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Sep
16
answered Does amortization of bond start accumulating on trade date or settlement date?