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hugohoenn/README.md

Hugo Hoenn

I build systematic investment strategies and explain them to people who don't write code. Economics & International Relations at Syracuse (quantitative economics, AI minor), class of 2027. Passed CFA Level I. Everything below has public code and ends with a section on what the evidence cannot show. Site: hugohoenn.com

Project What it is Headline Links
Multi-factor equity strategy Value, momentum, quality tilt on the S&P 500, sector- and beta-neutral, built from point-in-time SEC filings and then re-run on 35 years of survivorship-free CRSP/Compustat data 0.38 IR, t = 2.3 over 1990–2024; the premium came from the 1990s and 2000s and has been flat since 2010 repo · factsheet & dashboard · v3 note
Goldman Sachs QIS product review Client-style notes on the QIS team's public funds: the Absolute Return Tracker reverse-engineered, ActiveBeta U.S. Large Cap rebuilt from its rulebook 10 ETFs explain 89% of GARTX; OOS clone at 2.0% TE / 0.94 corr. Rulebook recovers 0.40 correlation of GSLC's active returns, stable out of sample repo · notes
Cross-asset trend & carry program 21 equity, bond, FX and commodity markets; vol targeting, risk parity, costs; benchmarked against GS Managed Futures Strategy; ML overlay tested under purged walk-forward validation 0.41 Sharpe, −21% max DD, −0.15 corr to S&P 500, positive in 2008/2020/2022. The ML overlay lost to the rule (IC 0.03 vs 0.06) and is reported as such repo · note
Fund X-ray Interactive returns-based analysis of 45 funds: ETF exposures, Kalman-filtered drift, Fama-French tilts, OOS clone tracking error, fee-vs-clone gap, plain-English readouts Every public GS QIS product included open it · code

Stack: Python (pandas, NumPy, statsmodels, scikit-learn, Plotly), SEC EDGAR XBRL, CRSP/Compustat via WRDS, Fama-French data library. Contact: hhoenn@syr.edu · LinkedIn

Independent research for discussion. Not investment advice. Not affiliated with Goldman Sachs or any fund sponsor.

Popular repositories Loading

  1. factor-strategy factor-strategy Public

    Multi-factor equity strategy on the S&P 500: point-in-time SEC data, then 35 years survivorship-free via CRSP/Compustat. 0.38 IR, t=2.3, earned pre-2010.

    HTML

  2. hugohoenn.github.io hugohoenn.github.io Public

    hugohoenn.com - research site

    HTML

  3. gs-qis-review gs-qis-review Public

    Client-style review of Goldman Sachs QIS public funds from public data: GARTX reverse-engineered, GSLC rebuilt from its rulebook, plus the Fund X-ray tool.

    Python

  4. macro-program macro-program Public

    Cross-asset trend and carry program on 21 markets with vol targeting and risk parity, benchmarked against GS Managed Futures Strategy; ML overlay tested under purged walk-forward validation.

    Python

  5. hugohoenn hugohoenn Public