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| bio | website | wingedfootcapital.com |
|---|---|---|
| location | New York | |
| age | 34 | |
| visits | member for | 1 year, 5 months |
| seen | 18 hours ago | |
| stats | profile views | 873 |
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?
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Sep 23 |
revised |
How to compute modified-CVaR in the PerformanceAnalytics package? added 11 characters in body |
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Sep 23 |
asked | How to compute modified-CVaR in the PerformanceAnalytics package? |
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Sep 20 |
comment |
Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia? Agreed. It just seems to me that state-space representations are more faithful representations of the dynamic nature of betas (vs. static OLS betas). |
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Sep 15 |
answered | Are shorter holding period strategies better? |
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Sep 15 |
comment |
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors? Barra's state of the art is the "Eigenfactor" methodology. (It seems that Barra's desire to serve multiple users each who have conflicting objectives has led them to add one contraption or ad-hoc adjustment on top of another. I have seen some simple approaches that out-perform BARRA out-of-sample.) BARRA's original procedure (a la Rosenberg) follows the cross-sectional regression procedure given industry loadings and standardized factors loadings. I am surprised that there are not published empirical results on the performance of cross-sectional vs time-series methods. |
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Sep 14 |
accepted | Portfolio optimization with monte carlo sampling from predictive distribution |
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Sep 14 |
comment |
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors? I tried to find a link for Sheikh paper but could not find it on google. I'll check Jstor - thanks for cleaning it up - I appreciate it! |
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Sep 14 |
revised |
What is a sound way to project Company X's earnings over the next Y years? added 4 characters in body |
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Sep 14 |
revised |
What is a sound way to project Company X's earnings over the next Y years? added 23 characters in body |
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Sep 14 |
answered | What is a sound way to project Company X's earnings over the next Y years? |
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Sep 14 |
revised |
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors? edited title |
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Sep 14 |
asked | Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors? |
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Sep 13 |
answered | How to shift amongst asset classes in response to relative value views? |
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Sep 13 |
answered | How are cryptography and speech recognition technology applied to forecasting financial markets? |
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Sep 12 |
comment |
Is the stock price process a martingale or a Markov process? Nonetheless, it's interesting that Hidden Markov Models can successfully explain the "stylized facts" of equity market return distributions (including persistent volatility), skewness, and other forms of higher order dependence: ideas.repec.org/p/hhs/hastef/0117.html |
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Sep 9 |
comment |
What are the risk factors in analysing strategies? @user508 - question #1 is are the results out-of-sample or in-sample (i.e. data snooping) |
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Sep 9 |
comment |
How to shift amongst asset classes in response to relative value views? Agreed. Are there confidence levels or probabilities associated with the views? If yes, do you have a shrinkage target for your portfolio? Also, can we assume your utility function is plain vanilla mean-variance plus a penalty for transaction costs? |
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Sep 9 |
comment |
How to shift amongst asset classes in response to relative value views? Can you make the simplifying assumption that the currency exposures of the international fund are the same (not just close) to those of the the currency fund's holdings? |
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Sep 9 |
revised |
Does the debt load affect the volatility of equity? added 112 characters in body |
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Sep 9 |
revised |
Does the debt load affect the volatility of equity? added 112 characters in body |
