i think quantitative will be the major part of my secret sauce – assuming i still believe in secret sauce – if and when i make the jump from engineering to investing.

i thought about working my way through some more books instead of the CFA as you mention, but in the end i was also after a broad, “well-rounded” education. also wanted something official to go on the resume.

you’re not the first to mention that my signal processing background alone might be enough to get me in the quant door. but it seemed like due diligence on my part to get some sort of formal business training too before i touch other people’s money. maybe silly…

i thought about going back to school for a degree in something like Financial Engineering – but the CFA program let me do it all in my spare time while still working so that closed the deal.

re: my own trading, in the beginning i was doing lots of short-term stuff and doing quite well at it, but taxes were eating the majority of my alpha. if there’s one overriding theme in the CFA program is that i find the more i learn, the less i feel i know. each passing chapter gave me less confidence in my previous techniques so i turned into an asset allocation guy with my real money while simultaneously running quant-ish sims with play money looking for a robust version 2.0 short-term strategy. i do it all in Matlab.

re: my tibetan experiment, that came from about a 90% interest in foreign languages and 10% interest during that time of my life in buddhism. the foreign language bug remains with me to this day, but it’ll probably only be during retirement that i’ll have the time to pick that back up.

thanks much for writing – would be interested in hearing about your own trading and research either through comments or email.

good luck back atcha – lumi

- V

I was just looking up stuff on historical stock split & dividend data, and google threw up your website. Good stuff.

I am surprised that you decided to pick up CFA after studying electrical engg. Andrew Lo’s, Hasbrouck’s, Dennis Sasha’s, Cochrane’s, these guys’ works would have done you far better In any case, CFA curriculum is rather outdated and useless when it comes to quantitative methods – they can’t quite make it too quantitative to keep their candidate market intact!

Signal processing is quant enough if you want to trade : )

But hey, good luck with CFA nevertheless!

I’d be curious to know whether you’re doing any high-freq or are more on asset allocation side? Are you using KDB, APL/J?

Anyway, again, good luck!

- Vishal

regarding formulae, i didn’t really have a system for memorizing them. i’m usually not a good memorizer and just counted on my having worked enough problems that any i’d need would come back to me on exam day. i did always try to understand the derivation and/or logic behind each formula which makes them much easier to recall than if you don’t know where the equation really comes from.

same goes for IFRS and GAAP. when i was first studying i thought i’d make a nice list of all the key differences… but i never did. whatever differences were emphasized in the problem sets were what i remembered for the test.

The recommendation I have for the FSA stuff is just to keep going and don’t worry about how lost you feel! There are some nice summary chapters near the end that, for me, made it easier when I went through the stuff a second time. I can’t say I ever felt that I really knew FSA thoroughly going into the test. Perhaps I just got lucky that the parts that were tested were the parts I happened to understand well.

Hope this helps – my main advice is just to keep working and re-working problems as much as you can until test day. Good luck!

Lumi

The level I exam date is approaching and I am still a long way to complete the volumes. Can you briefly tell me how you approached the following:

1. remembered all the formulae for the exam day?
2. Difference between IFRS and US GAAP. Do we need to know all the rules difference. I haven’t taken the sample exam yet; so do not have an idea yet
3. Any guessing you had to do when you did know the answer

I am just getting lost on the Financial reports volume; eg; deferred taxes, long lived assets. Any luminous logic (meaning light) you can shed on these? Thanks

Sri

- lumi

You are absolutely correct about focusing on and using your strengths instead of dwelling on your weaknesses. I try to follow this, in my life and in my pursuit of the CFA designation, but at times it is extremely difficult.

Working through 6 CFA books, countless questions, and trying to wrap my mind around all the material is, at times, something I can’t see my self successfully doing on exam day.

Whenever I get that feeling I just start to think about what I can do and what I do know/understand and it usually turns my mood around. Which is extremely important since time is a precious and limited resource before exam day which you don’t want to waste worrying about a single problem or concept.

PS. I know time is limited but I wish you had more frequent posts, enjoy reading them.

yes index tracking doesn’t sound like it would lend itself well to creative types, but at least you’re working on this stuff in the real world. envious…

maybe your next logical step is to branch out into using quantitative techniques to “enhance” index returns – like whatever Fidelity does with FLCEX to mostly track, but slightly beat, the S&P 500?