Loc Nguyen > Recent Status Updates

6. Instruments: not yet going into the framework, just an overview of how to decide on instruments
a) Min req: open data, accessible min size, controllable price drivers, some volatility; b) instr fit w style: max no of instrs; low correlation for diversification; low cost & high liq (high cost & low liq = slow trade); balance skew of instr w style (e.g. use (+) skew rule on a (-) skew asset); c) access methods

6. Instruments: not yet going into the framework, just an overview of how to decide on instruments
a) Min req: open data, accessible min size, controllable price drivers, some volatility; b) instr fit w style: max no of instrs; low correlation for diversification; low cost & high liq (high cost & low liq = slow trade); balance skew of instr w style (e.g. use (+) skew rule on a (-) skew asset); c) access methods

5. Framework Overview

a) Pitfalls: sizing+money mgmt should acct for risk appetite, open positions, speed, & stop loss should account for more than risk & capital b) Why modular? a bit obvious & very similar to software c) Building modularity involves understanding how the author defines the components & the border between them

13. It's Easier than You Think p168

Author has a course "Paths to Power". Maybe worth looking. Otherwise, this chapter is a lot of encouragement.

12. Power Dynamics p159
Short chapter, not much worth mentioning

4. Portfolio Allocation
a) Naturally, higher weights on high SR and low corrs; b) Bootstrapping to avoid over-optim: basically averaging results across multiple optims (instead of one optim on the average) - see Appendix C; c) Handcrafting portfolio wgts: basically norming across risk, corr, industry etc - see clustering methods; d) Augment with Sharpe, not through returns but costs.
A chapter that feels strange.

3. Fitting
Overall: a) Across industries, mixture of experts perform well; b) There's a balance between generalizability & specialized edge;
Tactically: a) KISS; b) out-sample testing only; c) don't drop (highly correlated) rules without testing carefully; d) pool time series data if possible; e) don't compare neg vs pos skewed strat; f) remember benchmarks
Author recs starting with 1. trend following & 2. carry.

11. How People Lose Power p151
a) DON'T lose restraint & patience ("disinhibition"), incl "overconfidence and risk taking, insensitivity to others, stereotyping, and a tendency to see other people as a means to the power holder’s gratification" b) DO "retain your sensitivity to the political dynamics" c) DON'T fall into competency traps i.e. remember to adapt

Feels like the book is slower as it progresses

10. The Price of Power (p.140)

a) Visibility can be tiring & stifling (what's the right balance?); b) Motivation (& stress) can decrease performance on learning

Short & a bit cliche'd

9. Overcoming Opposition, p129

a) Leave people a graceful out by e.g. giving people a stake b) Keep the goal in mind to discard irrelevant battles & persist on the important ones c) Force yourself to build the relationships you need despite emotional resistance d) When you can't build, you have to move quickly e) Build coalition with rewards/punishments, where rewards can be very broad

2. Systematic Trading Rules

a) sourced data-first or ideas-first - ideas-first is preferred but may need more intuition (?)
b) there's a gap in quantifying data for "merger arbitrage" (?)
c) skew needs to fit with trading style
d) providing liquidity is different from holding illiquid assets
e) asset allocator tends to risk-parity investing
f) crowded trades are deadly (but how to detect?)

8. Building Reputation p116

The author recommends building reputation by getting others to speak for you. He seems to liken Ch7 and Ch8 to marketing -- many similar channels & tactics.

7. Acting & Speaking w Power - p104

The author recommends: 1. power pretense, which will become true; 2. power contagion, which spreads; 3. self-reinforcement, because (1) and (2).

Author also proposes: Everyone at work is part of an audience -- and you're always an actor. Your contest is (a) to win the point (b) to set the agenda (c) to set the culture. Do all of that by pointing out a common enemy - a scapegoat.

Chapter One on psychology is not purely just fluff but also discusses volatility & how to calculate it on a back-of-the-envelope basis.

6. Building Efficient & Effective Social Networks starts with a great TODO list:

Internal contacts
1. CREATE (e.g., “company events”)
2. UPDATE (e.g., “catch up ab what they are working on.”)
3. USE (e.g., “get confidential advice.”)
External contacts
4. CREATE (e.g., “official festivities”)
5. UPDATE (e.g., “give my regards”)
6. USE (e.g., “exchange professional tips & hints ”)

Pausing at p28. Author proposes that trading strats/rules should be modular -- not sure yet how he'll accomplish that.

The classification system of players into (a) allocating investors (b) semi-automatic traders (c) staunch systems traders -- then building example strategies (called "rules" by the author) is a good pattern for a book.

Steps: 1. classify your audience; 2. convince them separately of your value; 3. give concrete examples for each audience

5. Making Something out of Nothing

Just a few lessons:
- provide attention & support (intuitive, but conflicts with previous lessons)
- do small but important tasks (examples feel like "important" is what you make of it)
- build a resource base inside & outside your org (sure, build externally as well, but hard to balance)
- leverage relationship with a prestigious organization

A hidden lesson: organizing meetings

Clear & well written. The Level Up (further resources) section is valuable as a reference for what to read next. Will reread when situation arises.