Proprietary Work
TownSquare Capital:
- Developed two algorithmic signals to deploy on ETFs to serve as tactical bond funds. Both beat their underlyings by 7% and 2.9% when they deployed in their first full year of 2022.
- Determined more optimal, event-based moments in the market for rebalancing equity-bond portfolios to replace the traditional, arbitrary annual or quarterly basis.
- Researched the effect on performance and volatility for equities joining vs leaving a specific index. I concluded there is more opportunity in equities that will be removed from the index, rather than those who will be added.
- Compared performance when copying specific 13F filings vs their actual fund performance; analysis of the dependency on execution timing of trades. I concluded that there is no significant difference in performance when buying a fundamentals-based fund vs copying their 13F filings the moment they are released. The fund must be long-only and cannot trade any derivatives.
- Programmed Python scripts to automate repetitive compliance tasks.
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Under Al Vinjamur:
- Quantitative Research
- Feature engineering
- Data engineering features/research into the algorithmic trading pipeline