Prepping for AM meeting

Hey, this is my first time posting here after a few months of lurking so bear with me.
I'm hoping to receive some advice from people with experience in the AM space.

The goal of this post is to receive feed back and tips regarding some of my work and "interviewing".

I'm an incoming sophomore at a top state school studying statistics and computer science (4.0). Via LinkedIn, I reached out to an alumni from my school who is the president of an asset management firm (think dimensional advisors type of firm). I expressed my interest and curiosity and they responded extremely nicely, sending me sources (FF data library/portfolio visualizer/links of their competitors research), and even offered to give me a tour of their firm after a lunch meeting. I would have never expected this and am super excited. Is this something normal for a president to do?

Over the past month at summer school in preparation for the meeting I've been reading papers about multi-factor portfolio construction, asset allocation, as well as keeping up with the markets. I thought it would be a good idea to bring to the meeting something I did based off of the works they sent me. I did two things in python:

1 ) Based of an arbitrary selection of stocks, I created a program in python that allows you to enter in ticker securities (quandl api) and automatically generates the best asset allocations using Markowitz minimum variance optimization. At the end is a nice looking display of the weights and an efficient frontier with the 200,000 portfolios I generated to numerically solve for the best portfolio.

2) I put together a mixed multi-factor portfolio (long only) in python(scaled down due to diminishing return for manually selecting the stocks with the best metrics. I couldn't do it computationally due to the lack of processing power I have and understanding of some of the mathematics in the paper). With the securities weighted by capitalization, I target positive value, size, and quality exposures based on the historical relationships between them found on Factor research. com. I put them all together and eventually regressed the portfolios returns against FF Research data to see if I have decent factor exposures. I'm going to tell her that I'd rebalance and shift exposures monthly depending on changing market conditions.
- If I had the resources, I'd numerically generate random portfolios from a whole index using percentile rankings of stocks, and ultimately have a team of analysts analyze the companies from a qualitative perspective. Depending on certain global macro trends I'd use derivatives to hedge sector risk as well as idiosyncratic risk for securities.

I'm going to print out the code to show them that I'm driven but won't make a big deal out of it. I'm going to be more focused on asking questions about their career, their firm, their use of derivatives in portfolios, and how analysts interact with PM's and traders on a day to day basis.

I'm realize that MPT and factor models (at least what I did) are pretty ground level and it's not going to knock their socks off. What do you guys/gals think?

Lastly, I'm dying for an internship. Christmas, weekends, next summer idc. How do I bring up my interests in interning? I've gotten the idea that it's kind of a taboo subject but I'm probably mistaken.



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Jul 29, 2018 - 1:26pm

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