8,039 reputation
1753
bio website wingedfootcapital.com
location New York
age 34
visits member for 2 years, 4 months
seen 19 hours ago

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
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?
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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).
Sep
1
comment Where can I find a database of ALL ETFs, sorted by age?
I know this isn't terribly helpful, but I did stumble across a blog one that had this information. I believe the term ETF was in the URL. If you find the blog again please post it as an answer. Thanks!
Aug
31
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
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Aug
31
revised How do I eliminate developed currency funding cross rate risk in an EMFX position?
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Aug
31
answered How do I eliminate developed currency funding cross rate risk in an EMFX position?
Aug
26
comment Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Yes - it is forecasting expected return. They are risk premia in the sense that I am regressing on risk factors (value, size, beta).
Aug
26
asked Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Aug
26
revised Portfolio optimization with monte carlo sampling from predictive distribution
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Aug
26
comment Should the average investor hold commodities as part of a broadly diversified portfolio?
Interesting... FWIW, CFA Institute curriculum weighs the pros/cons and ultimately does consider commodities as an asset class. My thought is -- yes, if the asset is tied to a bona fide risk premium. For example, if a futures contract is generating a convenience yield compensating the holder for bearing risks in delivery then this would be a valid asset class.
Aug
25
comment Techniques for forecasting short-frame data?
Agreed - way too broad... I'd also plot the data for starters. Is the series stationary? Mean-reverting or trending? Does it depend on time, past values of itself (i.e. auto-regressive), or exogenous predictors. Are there theoretical properties of the series?