Quant Guy

7,531 reputation

1347

bio	website	wingedfootcapital.com
	location	New York
	age	34
visits	member for	1 year, 5 months
	seen	yesterday
stats	profile views	873

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?

	7,531 reputation	bio	website	wingedfootcapital.com	visits	member for	1 year, 5 months
1347 badges		location	New York		seen	yesterday

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194 Comments

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Jan 28	comment	What are some research articles on using principle components to generate alpha? @vonjd - DONE! :) Would like a couple more ideas more generally though!
Jan 23	comment	Robust-Bayesian optimization in Markowitz framework Can you post the link to the paper? Reminds me of an Atillio Meucci paper
Dec 23	comment	Are there any tools or useful algos for identifying corner portfolios? No - an efficient portfolio is only a linear combination of any two corner portfolios.
Nov 29	comment	Bootstrapping first, then data mine? Great point re: preserving the auto and cross correlations. Block bootsrap method discussed by Stambaugh appears effective in that regard but it seems to me that the research on the best bootstrapping method is not definitive
Sep 28	comment	Comparing MVO with Resampled Efficient Frontier The best is probably Michaud's original text. Markowitz himself has some positive remarks: pionline.com/article/20031222/PRINTSUB/312220715 Of course, Markowitz's comments were before Scherer's systematic take-down so take it with a grain of salt. My view - there are better alternatives out there.
Sep 18	comment	Markowitz mean-variance optimization as “error maximization” @John - Take a look at "Robust Portfolio Construction" by Bernd Scherer who has a takedown of Michaud's resampling technique on theoretical grounds (namely that it is not Bayesian although it smells like bootstrapping): papers.ssrn.com/sol3/papers.cfm?abstract_id=796625
Sep 17	comment	Markowitz mean-variance optimization as “error maximization” +1. There's alao a 2006 paper by Sebatian Ceria and Robert Stubbs that also illustrates this with an example. They both are at Axioma so you can also find some more research there.
Sep 7	comment	Historical data on short rates Have not reached out to them. FWIW, Most of PBs do have historical rates data available when I have spot checked various dates.
Sep 7	comment	Historical data on short rates Hi Alon - welcome to quant.stackexchange.com. This is similar to my question here: quant.stackexchange.com/questions/3891/…
Sep 5	comment	How to define the objective function for a custom optimization problem? @pyCthon - sure shoot me a note. I'm attending an Emanuel Derman talk this Thu eve - could meet there.
Sep 4	comment	How to define the objective function for a custom optimization problem? @pyCthon - particular objective functions have clever solution strategies that are fast and accurate. For example, the author of CVAR (Uryasev) has a commercial product that is remarkably fast. But given an "aribtrary" objective function that may not be differentiable I think these general purpose algorithms are the best one can offer. Some firms (particuarly HFT) do invest in hardware such as FPGA to do as close to real-time optimization as possible. If you know of a good general-purpose algo that is also fast, let me know!
Sep 4	comment	How to define the objective function for a custom optimization problem? @pyCthon - good point. You can also use CUDA GPU to accelerate.
Sep 4	comment	How to define the objective function for a custom optimization problem? @SRKX If the function is convex (and therefore differentiable) you can guarantee an optimum point using a quadratic optimizer. Updated my answer to elaborate a bit more
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 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 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 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.
Jul 31	comment	Implied forward rates puzzle @chrisaycock - Thanks Chris. I switched to letters.