8,237 reputation
2058
bio website wingedfootcapital.com
location New York
age 35
visits member for 2 years, 10 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?


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?
Aug
25
revised Portfolio optimization with monte carlo sampling from predictive distribution
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Aug
25
answered Portfolio optimization with monte carlo sampling from predictive distribution
Aug
25
revised What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?
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Aug
25
revised What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?
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Aug
25
answered What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?
Aug
24
comment How do I find the most diversified portfolio, or least correlated subset, of stocks?
You could probably use DEOptim() R package to solve this complex objective function. Along the lines suggested, I would add a constraint for the max number of assets. Also, you can include in the objective function a vector corresponding to the expected returns of each stock. Since you are optimizing only over 10 stocks the algorithm would converge rapidly.
Aug
23
revised The T+H Problem in Factor model forecasts
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Aug
23
revised The T+H Problem in Factor model forecasts
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Aug
23
revised The T+H Problem in Factor model forecasts
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Aug
23
revised The T+H Problem in Factor model forecasts
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Aug
23
comment The T+H Problem in Factor model forecasts
Yes - I have a sliding window. The forecast for T+H is adjusted - let's say weekly. I don't see how that helps much - you still need to wait a full-year for the dependent variable to manifest itself in the training data.
Aug
23
answered The T+H Problem in Factor model forecasts