Wishlist for Student Resources

Posted Friday, March 28, 1:33PM

A key goal of the Center is provide training in a realistic investment and trading environment.

The Usual Suspects:
Reuters
Dow Jones
Bloomberg

Which tools would people like to see?
Just to get the ball rolling:

Optimizers - BARRA, Northfield
Model Builders - Clarifi
Integrated Data/Model Environments - Factset

What they have at other similar centers
http://www.johnson.cornell.edu/parkercenter/index.html


you mention that an optimizer is an important tool required to get started.

In a recent paper,

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1074622,

andrew lo and pankaj patel use the barra optimizer and risk model (and some credit suisse alpha signals) to construct long-short benchmarks for 130/30 investors. is this a worthwhile application of an optimizer, and are the benchmarks lo and patel constructed of any use?

 

For quantitative investing, an optimizer is an important tool, in long only, market neutral, and equitized strategies. It provides a systematic means to deal with multiple risk factors.

I don't see why it would be become unimportant in 130/30 strategies. The arguments for the dynamic benchmark are interesting, but likely too complex for many investment clients. Keep in mind, many public funds did not even allow shorts until recently. Some still don't.

A simpler benchmark is to ask what the funds would earn if the manager made no active bets. For a long only strategies, that turns out to be an index. For MN, T-bills, for 130/30, regarding the strategy as the (weighted) sum of a long-only plus MN suggest a similar sum of benchmarks.

 

Dr. Leinweber,

Realtime and historical data would be great since it's so expensive. The Haas library has access to some intra-day historical data via Wharton Research Data Services: http://wrds.wharton.upenn.edu/home/index.shtml but it's not current.

Also the Haas library's subscription to the magazine Wilmott is never current. I've brought it to the attention of basically every librarian about once every 2 weeks since last spring.

I'm not exactly sure what you're envisioning. Right now my "environment" is just my ultraportable laptop with Matlab and another open source statistical learning software (RapidMiner) along with data from either Yahoo finance for end-of-day or the Wharton Database for intraday.

Regards,
Max