Speculation in a Path Dependent World

I’m happy to publish my first paper on SSRN entitled, “Speculation in a Path Dependent World”  I found many otherwise talented managers entering a multi-manager platform (assigned capital with strict risk limitations) having a difficult time transitioning. The paper is my simple attempt to suggest an alternative framework for new or potential managers dealing with drawdown risk. Any and all feedback, comments, advice, diatribes are greatly appreciated!  


Fama French Multifactor Model in Python

Factor modelling is everywhere these days. I wrote about smart beta here. It is good to quantify performance drivers but the usual caveats apply to quantitative studies utilizing backward looking data, “past performance does not guarantee future results”. I wanted to share a little exercise I did in Python comparing a fund, stock, or anything with a ticker available on Yahoo Finance with the Fama French 3 factor model – Market Returns, Size, and Book…


3 Book Reco’s

Over the past years I read alatta books. Thank god I’ve switched mostly to electronic copy otherwise there would be no room to walk in our apartment (though I still prefer paper!) There were three I was luckily enough to read in succession recently that I wanted to share. Power – Joseph Pfeffer Organizational dynamics and behaviour have become sort of a mini obsession lately. My experience working for a Fortune 500 company exemplified that…


2015 Year in Review

2015 is in the books and it had it’s moments, both good and bad. I had the opportunity this year to travel to 6 continents including an amazing trip to the edge of the world, Antarctica. Unfortunately, we had some health issues in the family as well but we are optimistic in that department for 2016. Leaving the firm last year offered me an amazing opportunity to travel extensively which is an opportunity very few…


Long Crude Oil via Inverse ETFs

My best idea for 2016! I started writing about this on twitter in December after a friend pointed it out: $DWTI short will be trade of 2016 h/t to Bensonhurst buddy for pointing it out #Prognastications #RemembertheSKFs? — LargeCapTrader (@largecaptrader1) December 18, 2015 $DWTI no options but $SCO does. Like me some 1×2 call spreads to finance downside puts or put calendars #2016 #Decay — LargeCapTrader (@largecaptrader1) December 18, 2015 I don’t have a strong…


Smart “BEE-ta”

I recently attended EDHEC conference on “Smart Beta”. Although the concept isn’t new and these ideas have been in use for a few years now by market participants, it was interesting to see how pervasive these products have become and the overall interest by large asset allocators. If you’ve heard of the Fama-French 3 factor model, or the Value factor, Momentum Factor, etc. then you should be familiar with this concept. If not, a simple…


An Evening with Niederhoffer

The father of volatility selling…and blowing up via short premium. He is one strange bird. He was wearing what looked like a lady’s hat and pink Vineyard Vines pants that were ill fitted. It’s hard to describe how he speaks, it is slow, calculated, strained, he seems to struggle and trail off only to finish the sentence strong. He’s tall, much taller than me, and it takes awhile to see it and you have to listen…


Book Reco: Thinking in Systems

Thinking in Systems by Meadows & Wright was recommended by Patrick O’Shaughnessy at his blog. I also think his father’s book, “What Works on Wall Street”, is an excellent quantitative reference for longer term investment models. Systems engineering is a thought exercise in deciphering the variables in any given system, how they are controlled, and what happens when inputs are changed. The book had me thinking about systems in all different facets of life from the markets…


Forward Testing & Path Dependency

Path Dependency is a fact of life in trading. Your success in the markets is likely directly related to the sensitivity to the path of the asset class. If you are a cash investor with a long time limeline you are exponentially more likely to make money then a hedge fund trader limited to 2%-5% draw down. I used to work with a highly successful special situation trader whose core position was a calendar spread….


Volunteering with YearUp NYC

Monday was the last day for me tutoring personal finance for YearUp students here in NYC. YearUp is a non-profit that teaches and trains low income and minority students for jobs in the private sector. This was the first time I’ve volunteered my time to something like this and it was a great experience! The kids were extremely courteous, friendly and professional. They are off to intern at places like JP Morgan, Yelp, Facebook, BNY Mellon,…