Recent large losses in standard stock/bond portfolios emphasize the need for greater diversification and risk control.
As a result, I'm offering free weekly quant finance sessions for the month of September. Please contact me using the form at the bottom of this page for more information.
As a result, I'm offering free weekly quant finance sessions for the month of September. Please contact me using the form at the bottom of this page for more information.
Students who love math and have a deep-seated interest the stock market will want to check out the curriculum for my Quantitative Finance course, developed from fifteen years of experience reading finance research and six years working as a quant.
I've recently started trading a combination of strategies from the course, including risk parity, long/short futures factors, long/short equity factors, and long/short volatility. Here's the live performance (March 2019 through June 2022):
Return (CAGR): 17.5%/year
CAPM Alpha: 18.0%/year
AQR alpha: 10.0%/year (controlling for SMB, HML-Dev, UMD, QMJ, and BAB)
Sharpe ratio: 1.34
Sortino ratio: 4.30 = 3.04√2
CAPM Information Ratio: 7.04
"Just noticed that @ReformedTrader is bizarrely under-followed. He's curated, quoted, pasted, summarized, analyzed, organized and synthesized well over a hundred papers and articles on academic finance. Honestly, wtf are y'all reading if you aren't following his threads?" Adam Butler, CIO at ReSolve Asset Management (here as well)
"@ReformedTrader has put together an awesome series of Twitter “moments” that highlight research on risk premia, style premia, seasonality, and craftsmanship. Dig in." Corey Hoffstein, CIO at Newfound Research and a member of Investopedia's Top 100 in finance (here as well)
"Gotta hand it to @ReformedTrader for his consistency in posting quality quant finance research links. Everyone who is interested in quant finance should follow him. Hidden gem." Pravit Chintawongvanich, Wells Fargo equity derivatives strategist
"Wow, good stuff. I didn't even know the Moments could be used like this. Really great reference and shows the power of info sharing and knowledge building on Twitter." Justin Carbonneau, managing partner at Validea Capital Management
"I rarely say things like this, but Darren is one of the most underfollowed finance accounts out there." Kris Sidial, co-CIO of The Ambrus Group
"Read this thread and become an expert on the quality factor. Fantastic work by @ReformedTrader." Chris Cain, Quantitative Researcher at Connors Research and author of The Alpha Formula (here as well)
"You can spend 2 years getting an MBA or a few hours reading all of @ReformedTrader's monster threads. The first costs mucho $$$$ and may indoctrinate you with--at best--ideas well past their shelf life. The second is free and continually updated. As he learns more, so do you." Jim O'Shaughnessy, founder of O'Shaughnessy Asset Management and author of What Works on Wall Street
"Wow, Darren knows the paper way better than I do now." Cliff Asness, billionaire co-founder of AQR Capital Management, which makes hedge fund strategies available to investors at mutual-fund-level fees
Some of my social media followers include
- Tobias Carlisle (author of Deep Value and The Acquirer's Multiple and co-author of Quantitative Value)
- Tadas Viskanta (Director of Investor Education at Ritholtz Wealth Management and editor of Abnormal Returns)
- John Authers (Senior Editor at Bloomberg Business)
- Jeremy Schwartz (Global Head of Research at WisdomTree ETFs and host of Wharton Business School's Behind the Markets podcast)
- Jason Zweig (Wall Street Journal columnist and author of The Devil's Financial Dictionary and Your Money and Your Brain)
- Ben Johnson, Director of Global ETF Research at Morningstar
- Anthony Lee Zhang, Assistant Professor of Finance at the University of Chicago
- Joe Weisenthal, executive editor of news for Bloomberg Digital, co-anchor of Bloomberg Television’s flagship markets program, and co-host of Bloomberg’s “Odd Lots” podcast.
- Jerry Parker, CEO of Chesapeake Capital
The charts below, taken from a paper written by my friend Pim van Vliet, describe one of the strategies covered in the course.
Note the strong performance in each decade, including the dot-com bust (2000-2002) and 2008 crisis periods. The Conservative leg of the strategy owns low volatility, high momentum, and high buyback yield stocks, leading to more reliable returns than those of the market as a whole.
Note the strong performance in each decade, including the dot-com bust (2000-2002) and 2008 crisis periods. The Conservative leg of the strategy owns low volatility, high momentum, and high buyback yield stocks, leading to more reliable returns than those of the market as a whole.
This chart is from The Conservative Formula: Quantitative Investing Made Easy, one of the papers covered in my Quant Finance course.
Please contact me about tutoring and mention the words "Finance Offer."
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