August 26, 2020

Free Sessions for September 2020 (Quantitative Finance)

Recent large losses in standard stock/bond portfolios emphasize the need for greater diversification and risk control. At the same time, students are quarantined at home without access to the educational resources they're accustomed to.

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 thirteen years of experience reading finance research and four 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 August 2020):

Return (CAGR): 18.5%/year  
CAPM Alpha: 23.2%/year  
Sharpe ratio: 1.09  
Sortino ratio: 3.45 = 2.44√2  
Gain to Pain ratio: 2.43 (raw returns); 2.09 (excess returns)  
CAPM Information Ratio: 4.38  

Take a look at what others in the finance community are saying about my work:
"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 ButlerCIO 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 HoffsteinCIO 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 Carbonneaumanaging partner at Validea Capital Management

"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) 
"I enjoy these long threads Darren does on some great financial books." 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

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.


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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