I start with a quick check at home on our Asian strategies, looking at behavioural statistics, exposure profiles and performance.
Part of my role at OxFORD is leading a team of researchers, so each week I hold one-on-one catch-ups with each member of the team to discuss recent work on portfolio construction and emerging ideas. Ensuring the team is enthusiastic and focused is integral to the success of our projects.
After a quick check of emails, it’s onto the next meeting with the other research heads to discuss strategy ideas for a new data source we are using.
It’s one o’clock already, and a group of us heads to a local café to grab a panini, which we bring back so that we can join Friday’s video club held in our Lecture Theatre. Today’s session is Herb Sutter talking about “metaclasses”.
Afterwards, I focus on reviewing and authorising a model change. I start by reviewing our internal research paper proposing the change. I decide I want to visualise the sensitivity in underlying idiosyncratic performance, so I quickly fire up IPython to run a few variants of the model on our compute grid, all with just a few calls from the interactive shell. The change is approved.
I wrap up the day with the modelling team on a collaborative overview of this month’s new research.
Now it’s time to cycle home in time for dinner with the kids.