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Quantitative Investing Group Meeting

November 5, 2021 | 12:00 PM - 1:30 PM

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Discussion Topic: Systematic Pricing and Trading of Municipal Bonds

Guest Speaker: Sudar Purushothaman, Foundation Credit

Overview

We propose a systematic approach for pricing and trading municipal bonds, leveraging the feature-rich information available at the individual bond level. Based on the proposed pricing framework, they estimate several models using ridge regression and Kalman filtering. In their empirical work, they show that the models compare favorably in pricing accuracy to those available in the literature. Additionally, the models are able to quickly adapt to changing market conditions. Incorporating the pricing models into relative value trading strategies, the authors demonstrate that the resulting portfolios generate significant excess returns and positive alpha relative to the Vanguard Long-Term Tax-Exempt Fund (VWLTX), one of the largest mutual funds in the municipal space.

This is joint work with Petter N. Kolm, NYU Courant.

The full article is available here →

Quantitative Investing Group

Guest Speaker

Sudar Purushothaman is a Partner and Portfolio Manager for the FCO strategy and a member of Foundation’s Executive Committee. Sudar’s responsibilities include developing and executing investment strategies, as well as risk management and analysis for the FCO strategy. Prior to joining FCO in 2012, Sudar spent four years as a trader at Goldman Sachs on the municipal desk, focusing on high yield and high grade bond trading. Sudar received his Bachelors of Science from Stanford University and his Masters in Mathematics in Finance from New York University.

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