Protecting Your Profits With Money Management
Leo Zamansky Of Rina Systems
by Jayanthi Gopalakrishnan
Rina Systems founder Leo Zamansky has more than 20 years of experience in managing large software development projects, creating modeling and optimization technology. He is a professional developer with experience in applying mathematics and computer expertise to a range of applications. Much of his work has been in the field of quantitative analysis and operations research, and further, he has published a book and numerous articles in the fields of operations research, discrete optimization, and financial analysis. Currently, he is also a principal of Seven Hills Capital Management, LLC.STOCKS & COMMODITIES Editor Jayanthi Gopalakrishnan interviewed him via email on August 2, 2004.
Portfolio selection, money management, and risk control are the three components that should be considered.
How did you get started in technical analysis?
Before I got involved with financial technology, I performed research work in optimization and modeling, and I became interested in financial markets. Then I met trader David Stendahl when he was looking for somebody with a math and software background to help him develop trading models and systems. We started to collaborate on add-on products for TradeStation, and after a while, we realized trading performance analysis should include not only basic statistics about the past, but also characteristics that show how likely it is that trading performance will do better than the underlying market in the future. About that time, I also studied and experimented with nonlinear modeling and optimization for determining asset allocation, also called rebalancing.
Hadn't there been extensive work done on asset allocation by that point?
Yes, asset allocation and portfolio selection had already been well researched by Harry Markowitz as well as others. The efficient frontier approach that Markowitz developed in the 1950s used the only optimization method available at that time, which was quadratic programming with a predetermined utility function. So with that in mind, I explored the idea of a nonlinear modeling of assets and returns with periodic adjustments of portfolio allocations.
Do you still develop software for traders along those lines at Rina Systems?
Yes, and more. One of our first efforts was to create a software application called Performance Summary Plus for TradeStation.
What did that do?
That product takes the TradeStation output and analyzes the data further. The product eventually became the performance report in TradeStation 2000i as part of an arrangement with Omega Research, which is now known as TradeStation Technologies.
What else?
After Rina Systems developed the Performance Summary Plus product, we found out from traders and customers that there was a need to simulate portfolios for the output of backtesting platforms like TradeStation. So we ended up creating the portfolio analysis line of software that we still support today, called Portfolio Evaluator.
Later, we developed PortfolioStream, which automates testing over inputs
and baskets of symbols. More recently, in collaboration with a hedge-fund
operation, we've created a web-based turnkey back-office fund administration
and analytics platform for hedge funds called HedgeFacts. In addition,
we develop technologies for many industries as well as for the financial
markets.
...Continued in the October 2004 issue of Technical Analysis of STOCKS & COMMODITIES
Excerpted from an article originally published in the October 2004 issue of Technical Analysis of STOCKS & COMMODITIES magazine. All rights reserved. © Copyright 2004, Technical Analysis, Inc.
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