Keywords: stock picking, CTAs, quantitative investing, Portfolio Management, equity factors.
INVESTMENT APPROACH:
I went through the entire range of backtests while doing PhD: pair trading, complex signals based on advanced techniques like Kalman filter, Neural networks, Support Vector Machines and realized with time that the real value is in exploiting known and described market anomalies as value, momentum, low volatility, market seasonality, futures term structure. There are good examples of the best in the industry that have used those and thrived for extended periods of time: CTAs, value investors.
I include only a handful of parameters and strategies are not sensitive to a param...
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