About Me

I'm 50, and have three naughty kids, a wife, and a dog. I used blog for fun, and to champion some of my pet ideas, but now that I'm a portfolio manager I try not to write anything too interesting because I don't want to give away secrets or send my firm's PR staff into damage control.

I was a TA for Hyman Minsky at Wash U, which motivated me to be a macroeconomist and got me interested in risk. I'm a '94 econ PhD from Northwestern, and wrote a dissertation on the low return to high volatility equities, which I also showed were inordinately preferred by mutual funds. I was a drone for the First Interestate Bank economics department, run by future Cleveland Fed President Jerry Jordan. After grad school I worked at KeyCorp bank in Cleveland, first as an economist, then set up their value-at-risk system for their trading desk. After that, I led the development of their economic risk capital allocation across 5 major business lines, 23 secondary business lines, and 138 tertiary business lines. I really wanted to be a fund manager, so I set up a C-corp going long low volatility companies to demonstrate my alpha, doing this on the side. I developed Moody's RiskCalcTM for private companies, the world's leading private firm default model. I worked at the hedge fund Deephaven for a couple years, doing various things in pairs, convertible bonds, and long-short equity investing. I was a portfolio manager at Telluride Asset Management, and a quant at Walleye Trading.  I've written for several academic journals, including the Journal of Finance, and published two books--Finding Alpha and The Missing Risk Premium.  See my home website for published papers.

My economic views are in the vein of Hayek, Stigler, and Friedman, some of my intellectual role models. I like rational expectations and derivatives pricing theory,  but hate the CAPM and its derivatives. My Big Idea (one that is new, true and important) is that risk is generally not related to expected return because people are more envious than greedy.

I can be reached at efalken atsign gmail-dot-com