- Joined
- 12/14/11
- Messages
- 4
- Points
- 11
Hy there
I'm new to this forum and have several questions:
a) I found quantpedia.com and am now wondering, if it is common in the industry to uses this site for strategy development?
b) I'm currently working as quant with an asset manager in Switzerland. BUT: I've only a bachelors degree in economics (with a major in finance) and am very faszinated by the more complicated stuff like hidden markov chains and so on. I'm therefore wondering, if I should apply for some kind of MFE program (ETH Zurich). My "dream" would be to develop trading strategies that will be applied in daily business. I'm not quite sure if such a programm would teach me such things (the emphasis is mostly on derivatives & portfolio management). In addition (if I look at the add from baruch on top of the site) I currently earn much more than is promised to earn after graduating.
Therefore, If you were in my position (and 24y old), what would you decide (and why)?
c) I read through several working papers and worked out an investment strategy (not a trading strategy) on a weekly basis with the following stats (monthly * 01/2005-11/2011):
mean (ann.): 17.8%
deviation (ann.): 12.4%
skew: 3.8
ex-kurtosis: 19.06
#pos months: 57
#neg months: 27
best return: 23.16%
worst return: -3.68%
mean return (if positiv): 2.62%
mean return (if negativ): -0.90%
yearly returns:
2005: +5.40%
2006: + 5.00%
2007: +9.00%
2008: +46.6%
2009: + 25.6%
2010: +6.2%
2011: + 24.8%
As I said, I'm not very professional in doing this. If you would have maintained such stats, would you go for it?
Thanks a lot for your answers and please apologize my English.
Regards
I'm new to this forum and have several questions:
a) I found quantpedia.com and am now wondering, if it is common in the industry to uses this site for strategy development?
b) I'm currently working as quant with an asset manager in Switzerland. BUT: I've only a bachelors degree in economics (with a major in finance) and am very faszinated by the more complicated stuff like hidden markov chains and so on. I'm therefore wondering, if I should apply for some kind of MFE program (ETH Zurich). My "dream" would be to develop trading strategies that will be applied in daily business. I'm not quite sure if such a programm would teach me such things (the emphasis is mostly on derivatives & portfolio management). In addition (if I look at the add from baruch on top of the site) I currently earn much more than is promised to earn after graduating.
Therefore, If you were in my position (and 24y old), what would you decide (and why)?
c) I read through several working papers and worked out an investment strategy (not a trading strategy) on a weekly basis with the following stats (monthly * 01/2005-11/2011):
mean (ann.): 17.8%
deviation (ann.): 12.4%
skew: 3.8
ex-kurtosis: 19.06
#pos months: 57
#neg months: 27
best return: 23.16%
worst return: -3.68%
mean return (if positiv): 2.62%
mean return (if negativ): -0.90%
yearly returns:
2005: +5.40%
2006: + 5.00%
2007: +9.00%
2008: +46.6%
2009: + 25.6%
2010: +6.2%
2011: + 24.8%
As I said, I'm not very professional in doing this. If you would have maintained such stats, would you go for it?
Thanks a lot for your answers and please apologize my English.
Regards
