Hoyt Chang

Mechanical engineer in the aerospace industry. Sensitivity / uncertainty analysis and multi-disciplinary optimization.

BS Mechanical Engineering - University of Michigan
MS Mechanical Engineering - Purdue University

Favorite books:
Buffett: The Making of an American Capitalist by Roger Lowenstein
Quantitative Strategies for Achieving Alpha by Tortoriello Richard

My models have a modest amount of optimization. I believe some optimization can add genuine value, but over-optimization should be avoided.

I trade versions of some of my Smart Alpha models that have different liquidity and number of stocks.

Investment Style
Mostly fundamentals.

Model development process:

1. Read papers, books, and articles to generate ideas on sound investing concepts.
2. Test combinations of factors that fit within the concept. Try to figure out why some factors combine well but some don’t.
3. Test different levels of liquidity, number of stocks, turnover, even/odd stocks. This gives an idea of how robust the model is.
4. Optional: test market timing or hedging rules.