meta user
network profile
| bio | website | wingedfootcapital.com |
|---|---|---|
| location | New York | |
| age | 34 | |
| visits | member for | 1 year, 5 months |
| seen | 18 hours ago | |
| stats | profile views | 868 |
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 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? added 128 characters in body |
|
Aug 9 |
revised |
How do you mix quantitative asset allocation with qualitative views? added 255 characters in body; added 85 characters in body; edited body |
|
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 |
|
Aug 5 |
reviewed | Approve suggested edit on |
|
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. |
|
Aug 3 |
accepted | What is the relative performance of hard-to-borrow securities? |
|
Aug 2 |
asked | What is the relative performance of hard-to-borrow securities? |
|
Jul 31 |
revised |
Implied forward rates puzzle added 223 characters in body |
|
Jul 31 |
comment |
Implied forward rates puzzle @chrisaycock - Thanks Chris. I switched to letters. |
|
Jul 31 |
revised |
Implied forward rates puzzle edited body; added 2 characters in body |
|
Jul 30 |
revised |
Implied forward rates puzzle added 166 characters in body; added 4 characters in body |
|
Jul 30 |
comment |
Implied forward rates puzzle @TalFishman -- looks like a bug. When I edit the post I can see the bullets and the numbers show correctly, however the rendering does not. |
|
Jul 30 |
answered | What are the pros and cons of applying for a patent on a financial model or trading system? |
|
Jul 30 |
revised |
Implied forward rates puzzle deleted 62 characters in body |
