[dia80]

Quant trader here... I'm a big seller of this list. Making money tends to be a relatively empirical endeavor. It's all about having information about the future and using that in judiciously way and less so about any particular theory or model. I see someone else mentioning Grinold and Khan "Active Portfolio Management", I can't recommend it enough, it's basically a how to for making money quantitatively in a principled way, there are lots of "tips and tricks" that go on top of this and it really helps to have some good intuition for the space you are trying to operate in (by that I mean understanding the eigenvalues and eigenvectors of your risk matrix). T-costs are also extremely important and the main "enemy" it's trivial to make money if you don't have to pay to trade.

Steven Boyd at Stanford and his students / colleagues are probably the richest seam of up to date portfolio optimization wisdom. If you are using python you shoult probably be using CVXPY to build your portfolio. He has lots of good papers, e.g. see [2].

Of course you also need an "edge", that information about the future, and that's the jealously guarded part...

[1] https://books.google.co.uk/books/about/Active_Portfolio_Mana...

[2] https://stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf

[tikkun]

Seller of this list, as in you think it's not a good list?

[dia80]

Not really going to help you make money...

[keithalewis]

A big seller? So you are shorting this list?

Little know fact: the CAPM is an equality of random variables, not just their expected value. https://arxiv.org/abs/2009.10852

[boppo1]

> having information about the future

How, uh, do you do this legally?

>If you are using python

And if you're using C++?

[nl]

> How, uh, do you do this legally?

It's simple to have information about the future in entirely legal ways. Usually the future information is available, just unequally distributed.

The best example of this is the movie "The Big Short" where it the information about the upcoming crash of subprime-backed bonds just required people to bother reading large amounts of bond composition documents. Only 3 groups really did this.

Another good examples is how some funds pay for logistics intelligence (via satellite reconnaissance, customs declarations etc) to forecast sales figures.

[esafak]

> How, uh, do you do this legally?

I don't think you can generally, but in specific contexts, having a model of the system allows you to extrapolate. For example, people who foresaw how the pandemic would or even could play out made lots of money. The further out you can connect the dots, to secondary or tertiary effects, the better. I did nothing personally.

[dia80]

Forecast! Time to reach for your linear regression, GBDT or NN.

[matheusmoreira]

> How, uh, do you do this legally?

Why would it be illegal if you're not directly involved with the corporation? Surely insider trading implies actually being some kind of insider. Like some politician selling stock before some regulation takes effect.

[roflyear]

Trading on insider knowledge is illegal afaik

[matheusmoreira]

Seems vague to me.

So you go to an event or something. Company guy says something stupid that convinces you they're doomed to fail and then you make money by shorting their company's stock. That's illegal?

[roflyear]

Well, maybe. I think it depends.

Certainly you can't have your friend Bob who works at Acme tell you stuff then suddenly you're in the clear. That isn't how it works.

But if let's say Bob does something dumb that leaks info publicly, sure - it's public now. You can trade on it.

I'm far from a lawyer but there's nuance here.

[roflyear]

You know rates will go down eventually. You know the debt ceiling deal will probably pass and the market will like it. Plenty of things we can know.