8,034 reputation
1753
bio website wingedfootcapital.com
location New York
age 34
visits member for 2 years, 4 months
seen yesterday

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
comment Is this a common variation of sharpe ratio?
@Freddy btw, I don't disagree with your answer in fact I +1'd it -- I think there are some other dimensions to bring out that's all. Cheers
Aug
23
comment Is this a common variation of sharpe ratio?
@Freddy - Most of the critiques against the Sharpe nature are statistical in nature. True they apply to other measures but it seems an answer to the question. On Point 7: Most investors do not have mean-variance utility functions (see Prospect theory and Behavioral finance literature). On point 2, at higher intervals intra-month or intra-period volatility is drowned out. Monthly vol measurements miss entirely episodes such as Aug 2007 quant meltdown, flash crash, etc. There are scenarios where daily Sharpe can be > monthly sharpe but it isn't usually the case.
Aug
23
revised Is this a common variation of sharpe ratio?
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Aug
22
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22
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Aug
22
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Aug
22
comment Is this a common variation of sharpe ratio?
@John - I like your point as an add'l new point (added). I should clarify my point to say that the comparability of the statistic across strategies assumes the joint normally distributed returns.
Aug
22
revised Is this a common variation of sharpe ratio?
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Aug
22
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Aug
22
answered Is this a common variation of sharpe ratio?
Aug
21
accepted Implied forward rates puzzle
Aug
9
comment Using rolling returns in a multivariate linear regression?
Incidentally, you have stumbled upon one of the skeletons in the closet for the Fama-French type multiple regression techniques. Many academic papers suffer from exactly the issue you describe (autocorrelated residuals) but it's simply not discussed.
Aug
9
revised How do you mix quantitative asset allocation with qualitative views?
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Aug
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Aug
8
reviewed Approve suggested edit on hardware tag wiki
Aug
8
reviewed Approve suggested edit on hardware tag wiki excerpt
Aug
5
reviewed Approve suggested edit on
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Aug
5
comment What are the pros and cons of applying for a patent on a financial model or trading system?
don't have the link but the paper is available on the BARRA site. email me and I can also send it to you.
Aug
3
comment What is the relative performance of hard-to-borrow securities?
nice find... the holder of the security may be better off then the expected loss from the stock loan fee. interesting.