8,272 reputation
2260
bio website wingedfootcapital.com
location New York
age 35
visits member for 3 years
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
22
revised Is this a common variation of sharpe ratio?
added 26 characters in body
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 hardware tag wiki
Aug
8
reviewed Approve hardware tag wiki excerpt
Aug
5
reviewed Approve
Aug
5
reviewed Approve
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?