8,262 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?


Aug
23
answered The T+H Problem in Factor model forecasts
Aug
23
comment The T+H Problem in Factor model forecasts
a) In my case I am using daily data. b) weighting is a good idea to capture the changing correlation structure but it would have not worked in the above scenario -- a full one year after the bear market you would still be short. c) has the seeds of a good approach. There would be some method to calibrate returns to some factor that is measured each day. The devil is in the details though - how would you realize this specifically?
Aug
23
revised The T+H Problem in Factor model forecasts
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Aug
23
asked The T+H Problem in Factor model forecasts
Aug
23
revised How to calculate optimal standard deviation bands for trading?
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Aug
23
answered How to calculate optimal standard deviation bands for trading?
Aug
23
answered How well does CAPM beta track the risk of a particular market relative to world markets?
Aug
23
revised How can I select the least correlated portfolio of assets?
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Aug
23
answered How can I select the least correlated portfolio of assets?
Aug
22
answered What is the best data structure/implementation for representing a time series?
Aug
18
revised Any known bugs with Yahoo Finance adjusted close data ?
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Aug
18
comment Why does this Co-integrated basket look too good to be true?
By marks I mean when the currency pairs are quoted. Since there is a USD on each contract, if these currency pairs trade co-terminously then my hypothesis is false. On the other hand if one currency pair's quote for the day closes ahead of another currency pair but they are both marked on the same date then you might have a spurious result that is simply based on calendar/time effects.
Aug
17
comment Why does this Co-integrated basket look too good to be true?
Since you are modeling currency pairs across the globe there might be time effects in the model. For example, one currency pair may contain information about another currency pair because of timings of when markets open and close but the marks all take place on the same date.
Aug
17
revised Which valuation measures are most useful for equity market timing?
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Aug
17
answered Equity Risk Model Using PCA
Aug
17
accepted What are the best sources for equity quantitative research?
Aug
17
answered Which valuation measures are most useful for equity market timing?
Aug
9
comment Portfolio optimization with monte carlo sampling from predictive distribution
Will do - I should have an approach by end of month
Aug
9
comment Portfolio optimization with monte carlo sampling from predictive distribution
This is an excellent paper, thank you. Another paper that solves for weights given some expected return vector and uncertainty dispersion is Robust Bayesian Allocation by Meucci: papers.ssrn.com/sol3/papers.cfm?abstract_id=681553
Aug
9
revised Portfolio optimization with monte carlo sampling from predictive distribution
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