Personal update in 2023
Note: This is not affiliated with any organization or entity. Whatever opinions I expressed here is of my own and should not be construed as advice. Performance figures quoted is not based on traditional finance market or any equities so there is no confict of interest with my day job.
What a year it has been! Writing this post a few days before end of the year as I found some time during the xmas break.
On the personal portfolio front, as mentioned in my last post, I kind of shifted my personal investment philosophy to a complete market neutrality at start of 2021. This works wonder in a bearish regime where the alpha outperformance is simply not losing money in 2022! But in 2023, despite positive returns, I find it hard to beat the S&P 500. But I should not be too hard on myself since my benchmark is risk free rate of 4 to 5 percent. Combining performance between 2022 and 2023, I still come out far ahead by 21%.
Here is the breakdown of my performance since 5-Feb-2021 since it is the point where I changed my philosophy. I quoted S&P 500 as my benchmark as that is a viable alternative (or some sort of broad asset allocation) if I do not actively manage my portfolio. This contradicts what I mentioned in previous paragraph. haha!
- Overall sharpe as of writing: 2.2028
- Returns since Feb-2021: +100.28% vs +22.59%
- Returns in 2023: +13.36% (max drawdown: 4.02%) vs +24.81%
- Returns in 2022: +7.34% (max drawdown: 4.66%) vs -19.44%
- Returns in 2021 (from 5-Feb-2021 onwards): +65.41% (max drawdown: 9.69%) vs 22.50%
I still maintain my view that it is going to be a challenging decade for indexes. Hence on my personal portfolio front, I’m still going to maintaining delta neutral portfolio with alpha overlays.
On the self development front,
- I finally completed my Masters in Computer Science from Georgia Institute of Technology. This took a great deal of bandwidth in my life over last couple of years!
- After I finished my CS program, I turned my attention to endurance events and completed about 5 10km, 1 21km and 1 42km events.
Besides the updates in finance front, here are some near term stuff to amuse/torture myself,
- Analyzing deprecated Quantopian Python Tech stack to incorporate some of the best practices in my existing python public repositories. I brought forward this task from last year as I did not start.
- Complete deep learning AI math specialization just to fill up some possible gaps.
- Embark on deep learning AI NLP and ML specializations. This would be helpful for some strategies in day job.
- Embark on financial engineering masters. Still considering between John Hopkins or Worldquant. We shall see.
- Next year, I will try to embark on all viable 10km events, 21km events, spartan race and metasprint series (aquathlon, duathlon and triathlon).