Anusar Farooqui

Anusar Farooqui
Systematic Portfolios LLC

Doctor of Philosophy

About

22
Publications
17,619
Reads
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7
Citations
Introduction
I am the founder and CEO of Systematic Portfolios LLC. We offer accredited investors access to systematically rebalanced portfolios that offer better risk-adjusted returns than relevant benchmarks. I blog under the pseudonym Policy Tensor at policytensor.substack.com. You can also find me on Twitter: @policytensor.
Additional affiliations
September 2009 - February 2016
McGill University
Position
  • PhD Student

Publications

Publications (22)
Article
Full-text available
We analyze the transformation of the polarization of a photon propagating along an arbitrary null geodesic in Kerr geometry. The motivation comes from the problem of an observer trying to communicate quantum information to another observer in Kerr spacetime by transmitting polarized photons. It is essential that the observers understand the relatio...
Article
Full-text available
We show that fluctuations in the risk-bearing capacity of US securities broker-dealers are priced in the cross-section of expected stock excess returns. We show that the intermediary risk premium dwarfs the premiums on benchmark factors both unconditionally and dynamically. A portfolio that tracks our intermediary factor sports a dramatically highe...
Article
Full-text available
We explore the rigidities of the Western discourse that distort Western perceptions of Soviet modernity under high Stalinism.
Preprint
Full-text available
Ferguson's investment theory of party competition posits that in a money-driven political system blocs of major investors compete with each other to control the policies of the state. Analyzing the competition in a 'realist' frame is thus useful and yields interesting insights. We show how the theory allows for a novel perspective on the gridlock i...
Preprint
Full-text available
Paleoanthropology offers rich possibilities for writing intellectual history. We briefly explore these possibilities with a small number of probes related to the question of the humanity or otherwise of the Neanderthals. We begin with an exploration of the reception of these ancient humans upon their discovery. We then pick up the story later with...
Presentation
Full-text available
We look at portfolios of blue-chip US equities that are exposed to the overnight drift and minimize risk, as defined by the Fed's risk model for US securities. We document that there is a healthy premium in the cross-section, both pre and post-tax and in raw and risk-adjusted terms. In particular, we show that our portfolio is less risky than the m...
Presentation
Full-text available
Presented at the ASSA on Jan 8, 2022.
Presentation
Full-text available
Remarks at the Working-Class Studies Conference, Jun 7-9, 2021. I've uploaded a slideshow and the audio file.
Presentation
Full-text available
Slides from my presentation "Bidenomics as Class Politics" at the Working Class Studies Conference, June 9, 2021.
Data
Audio of the presentation "US Grandstrategy in the Planetary Impasse," delivered at the Global GND Conference at Johns Hopkins in October 2019.
Preprint
Full-text available
The term structure of VIX futures contains a very strong signal of dealer risk appetite. Unlike balance sheet quantities, this feature is available at very high frequencies. Here we exhibit two systematic strategies to mine the attendant risk premium from the term structure of expected volatility. We optimize our two hyperparameters by OOS cross-va...
Preprint
Full-text available
We argue that the origins of the catastrophe of the Sixties must be traced to the diagnostic and policy innovations of the Kennedy administration. We show how these diagnostic innovations originated in the military-intellectual revolution of 1954-1960. The military intellectuals who grappled with the dilemmas and confusions of the thermonuclear age...
Data
Audio of presentation delivered by Anusar Farooqui at the Global GND Workshop at Johns Hopkins on Oct 29, 2019.
Presentation
Full-text available
Social Democracy is the only historical actor that can attempt to forge a Green World Order. The key challenge for a social democratic administration attempting to solve the planetary impassee will be creating a moral economy of discipline that can be reproduced over the long run.
Article
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We examine the pricing performance of various measures of dealer risk appetite. We construct a novel measure of risk appetite that captures the provision of leverage to the clients of broker-dealer firms. We also construct a factor mimicking portfolio that tracks shocks to the leverage of broker-dealers. We show that intermediary pricing models con...
Article
Full-text available
We interrogate 140 years of macrofinancial data from three directions. The first approach pays attention to the slow buildup of financial imbalances that threaten financial stability and isolates medium-term movements in credit and property prices to identify national financial cycles. We show that the data reveals the reemergence of outsized finan...
Article
Full-text available
We show how to decompose R^2 into components that capture the percentage of variation explained by each predictor in a multiple linear regression.
Article
Full-text available
We isolate and study the transformation of the intrinsic spin of Dirac particles as they propagate along timelike geodesics in Kerr geometry. Reference frames play a crucial role in the definition and measurement of the intrinsic spin of test particles. We show how observers located in the outer geometry of Kerr black holes may exploit the symmetri...
Preprint
Full-text available
The reason why Bush wanted his war are still unclear more than a decade later. I show how Saddam came to play a central role in the formulation and justification of a muscular US foreign policy in the aftermath of the collapse of the Soviet Union. In the twelve years between the Gulf War and the Iraq War, Saddam became a litmus test for beltway ins...

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