8,257 reputation
2059
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 11 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
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!
Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
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Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
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Sep
14
answered What is a sound way to project Company X's earnings over the next Y years?
Sep
14
revised Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
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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?
Sep
13
answered How to shift amongst asset classes in response to relative value views?
Sep
13
answered How are cryptography and speech recognition technology applied to forecasting financial markets?
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
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)
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?
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?
Sep
9
revised Does the debt load affect the volatility of equity?
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Sep
9
revised Does the debt load affect the volatility of equity?
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Sep
9
revised Does the debt load affect the volatility of equity?
added 112 characters in body
Sep
9
revised Does the debt load affect the volatility of equity?
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Sep
9
answered Does the debt load affect the volatility of equity?
Sep
1
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
If you are only hedging the risk one security and you have a view on the most suitable hedges then PCA is not necessary as you can specify your model. If you aren't clear about what the best hedges are then you can use PCA notwithstanding the issues with PCA I noted above. Personally I would explore hedging using the factors produced from TSFA since there will be time-series autocorrelation in your data. By explore I mean test the performance of the hedge out of sample vs. a very simple approach (one factor regression).