My blogs

About me

Introduction	Since my ideal investment product is a global macro equity fund, this is a blog about global macro analysis and calls and how to implement these insights in quantitative equity investments. To manage this kind of funds, I would occasionally turn the right valves and screws of quant investment process to steer the fund toward the directions suggested by global macro insights, while the fund constantly makes bottom up bets. As a result, the blogs will also include some preliminary guidance on how to implement global macro calls. If you want more detailed guidance, you need to consult me directly.
Interests	NOTABLE ACHIEVEMENTS AS A QUANT PM AND GLOBAL MACRO STRATEGIST, § Predicted the market crash at the start of 2008, § Predicted the bear rally from March 2009, § Predicted quant equity underperformance for >2 years at the start of 2008; reconfirmed the prediction in early 2009. The experience of 2008-09 has confirmed these predictions. § Recommended remedies to quant models and processes at the start of 2008. The experience of 2008 confirmed the correctness of these remedies. § Predicted significant underperformance of momentum factors and features in the subsequent five years at the start of 2009. The experience of 2009 has confirmed this prediction so far.

Introduction

Since my ideal investment product is a global macro equity fund, this is a blog about global macro analysis and calls and how to implement these insights in quantitative equity investments. To manage this kind of funds, I would occasionally turn the right valves and screws of quant investment process to steer the fund toward the directions suggested by global macro insights, while the fund constantly makes bottom up bets. As a result, the blogs will also include some preliminary guidance on how to implement global macro calls. If you want more detailed guidance, you need to consult me directly.

Interests

NOTABLE ACHIEVEMENTS AS A QUANT PM AND GLOBAL MACRO STRATEGIST, § Predicted the market crash at the start of 2008, § Predicted the bear rally from March 2009, § Predicted quant equity underperformance for >2 years at the start of 2008; reconfirmed the prediction in early 2009. The experience of 2008-09 has confirmed these predictions. § Recommended remedies to quant models and processes at the start of 2008. The experience of 2008 confirmed the correctness of these remedies. § Predicted significant underperformance of momentum factors and features in the subsequent five years at the start of 2009. The experience of 2009 has confirmed this prediction so far.