I started my career at a small systematic hedge fund independently devising, developing and back testing systematic strategies. I would describe the firm’s strategy as a spin on risk parity, but instead of bundling diversified risk premias we developed all types of systematic transferable alphas– some from stat-arb, some from index rebalancing arb, some from trend following, some from relative value vol etc. When you aggregate hundreds of these strategies together, you end up with a beautifully (a) uncorrelated and (b) low volatility return profile (during my tenure the firms Sharpe ratio ranged from 3.5 – 3.9).
There were three extraordinary things about that experience. First, it gave me the opportunity to play across asset classes. I got to really dive deep into option pricing models and volatility dynamics (my favorite). I got the chance to play with stat arb and understand cross asset correlations, I got a deep understanding of the market microstructure how it can reflexively impact market pricing. But above all, I learnt how to teach myself a technical subject in a short manner of time, and became good at creatively find weaknesses in traditional methods that could be capitalized on. Second, I worked for one of the most intellectually generous people I have ever met. The portfolio manager at this fund had a lifetime of experiences and wisdom in the markets, and he was excited to shared his knowledge every day– I can never be thankful enough for all that he taught me. And third, it gave me an appreciation for risk management. A significant amount of my early tenure I spent playing with short vol strategies. But overtime, I came to realize that the holy grail of investing was finding profitable long vol opportunities– ways to make money with no tail risk.
Eventually that philosophy made me want to find something more fundamental, and so I left my fund to join a management consulting firm, that advises on private equity deals. The deep business analysis I learned there was an interesting tangent, and I gained a valuable skill set in modeling market catalysts, and developing investment thesis. I even spent a few months reshaping the investment process for a $30B hedge fund.
However, I have always been in love with the markets, and as much as I love my current position, I am looking to make the switch back to the buy-side. This blog is solely for the purpose of cataloguing my investment ideas in order to (a) get in the habit of writing more, (b) find profitable trades for my personal account, and (c) have a timestamped catalogue of special situation investments I can point to as the interview process continues.
Nothing contained within is investment advice. I may have material positions in any and all stocks referenced. Nothing I write here reflects in any manner on my employer, nor was any research conducted with my employers resources.