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Organization / Workplace
Mumbai Area, India India
Occupation
Analyst, IL&FS Market Services
Industry
Finance / Banking / Insurance
Website
About
1) Quantitative model for equity portfolio construction:
a) Developed an asset allocation model that is churned monthly, based on a macro-economic indicators' shock level; this indicator was also developed in-house, to generate signals for this specific strategy.
b) Underlying asset class are total returns indices of U.S. equity sectors. The portfolios formed were *performance based* (top 50-percentile & bottom 50-percentile). The portfolios started at 100.00 on Feb 16, 1994. Best performer ended at 13,260 on Dec 31, 2014, compared with S&P500's 652.2. The best performer had a CAGR ~26% & StDev ~16%, while the S&P500 had CARG ~9.7% & StDev ~19% for the same period.
*performance based*
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