8,157 reputation
1957
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 8 months
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?


Sep
23
revised When should you build your own equity risk model?
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Sep
23
answered What papers have progressed the field of quantitative finance in recent years (post 2000)?
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
accepted How to compute modified-CVaR in the PerformanceAnalytics package?
Sep
23
comment When should you build your own equity risk model?
Right on. Shrinkage methods are remarkably effective and very easy to implement
Sep
23
revised When should you build your own equity risk model?
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Sep
23
revised When should you build your own equity risk model?
added 133 characters in body
Sep
23
answered When should you build your own equity risk model?
Sep
23
comment How to compute modified-CVaR in the PerformanceAnalytics package?
no prob. The community has a massive debt to you for your contributions!
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
comment How to compute modified-CVaR in the PerformanceAnalytics package?
fyi - I made a small fix to 2nd line. m4 <- PerformanceAnalytics:::M4.MM(R). This step does take several minutes to compute. However, this helps tremendously since I am optimizing with CVAR and I can store m3 and m4 in memory
Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
revised How to compute modified-CVaR in the PerformanceAnalytics package?
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Sep
23
asked How to compute modified-CVaR in the PerformanceAnalytics package?
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).
Sep
15
answered Are shorter holding period strategies better?
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.
Sep
14
accepted Portfolio optimization with monte carlo sampling from predictive distribution
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!