Asset Management

Asset Management: day to day considerations
* Regime: Are we in the right regime for this trade, this portfolio composition (risk on or risk off?)?
* Sentiment: what is the market sentiment today? Is “bad” news “good” news?
* Interpretability: what is the inefficiency being captured?
* Source of Return: Are we dependent on carry, price change, other?
* Causation: are we dealing with causation or co-movement ("ice-cream demand & # of shark bites")
* Attribution Pitfall: are we merely “repackaging” momentum?
* Context: where are the clouds to monitor (crowded trades, bubbles, higher for longer rates, falling liquidity, geopolitical, earnings prospects), & can we tolerate them?
* Risk Management: what would cause these trades to fail and how bad is the estimated downside? overall portfolio convexity? Are we short out-of-the-money puts? Are additional risk factors material (climate risk, election risk?); should we add and overlay macro hedge?
* Perspectives: how would a retail investor / insurance company / endowment / hedge fund / "weak hand" view this trade?
* Target: should we revise our trading-horizon, return targets, & stop losses?
Risk Premium being Monetized
Value Momentum * Small Cap * Trend following * Mean Reversion * FX Carry * Credit * Liquidity * Risk-parity * Stat-arbitrage * Multi-factor * Short Volatility * Emerging Market.
Models Employed & in Development
* Traditional quant models
* Machine Learning models (e.g. random forest, neural networks, support vectors)
* Trend Following vs Mean Reversion models: is the trend structural? caused by market cycles? persistent? behaviorally-based? Caused by illiquidity? Are there feedback-loops?
* Carry models
* Bag-of-words model: frequency of occurrence of words used as a feature for training classifiers
* Language models (Transformer)