CV

Summary

I have 10 years’ experience working as a quantitative analyst in a small team at a Global Macro/CTA fund, predicting currency and rate movements. I invented, tested, and implemented new fundamental and technical factors to improve those predictions. I worked with other team members to develop new models from scratch in Emerging Market currencies. Additionally, I greatly improved the workflow of the team, moving us from cutting and pasting in Excel spreadsheets and CSV files to using a robust, developed solution for tracking performance and model forecasts. Finally, in the past couple of years I have been working with a separate Fixed Income team to develop models and quantitative reports for some of their products.

I am currently pursuing an online MS in Applied Data Science at Syracuse University.

I’m authorized to work in both the US and UK.

Skills

• Programming: R, Python, Stan, VBA, SQL, Java
• Software Windows, Linux, Excel, Word, Powerpoint, VI, LaTeX, Bloomberg API, AIM, Datastream, Access, PostgreSQL, MS SQL Server
• Statistics Generative Bayesian Modeling, Time Series Analysis, Dynamic Linear Models, Convex Optimization
• Accreditations Series 3

Work experience

• 2007 - 2017: VP, Global Dynamic Asset Allocation Group, Nikko Asset Management Americas, Inc.
  • Traded FX and bond derivatives for Global Macro Hedge Fund. Investment decisions were driven by a factor-based Bayesian dynamic linear model.
  • Streamlined model testing by writing comprehensive APIs in R and Python. These software packages brought the time taken to test a new model input down from hours to minutes, and made it much harder to make a mistake.
  • Researched new model inputs to improve fund performance. My most recent alteration raised out-of-sample model performance by 9.7% annualized, for a Sharpe ratio improvement of 0.9.
  • Put our internal discussions of model forecasts and performance on a quantitative footing via a full set of data visualizations written in R.
  • Created new forecasting models from scratch using Python, R, and Stan.
  • Produced optimized portfolios using CVX, among other libraries.
  • Side Projects for Fixed Income Team
    • Created a hierarchical zero-inflated Poisson pool-level MBS prepayments model. This model predicted which GNM II MBS pools would be the most likely to prepay in the following month, to assist the portfolio manager in choosing in which pools to invest.
    • Created dynamic linear model FX forecasting overlay for a long-only sovereign bond fund.
• 2005 - 2007: Analyst, Manager Selection Team, Nikko Asset Management Americas, Inc.
  • Created extensive system for tracking hedge funds: contacts with funds over time, performance, analysis, and due diligence status. System featured automatic calculation of quantitative metrics, and generated graphical reports on funds. PostgreSQL backend, MS Access + VBA front end.
  • Performed due diligence on hedge fund managers, with emphasis on Global Macro, Stat Arb, and Equity Market Neutral strategies.
• 2003 - 2005: Junior Analyst, Alternative Investment Group, Commerzbank Securities
  • Created system (TSQL backend, MS Access front end) to track information on hedge funds for Fund of Hedge Funds.
  • Performed due diligence on hedge fund managers.
  • Modeled optimal portfolios of hedge funds

Education

• M.S. in Applied Data Science, Syracuse University, 2019 (expected)
• B.A. in Economics, Columbia College of Columbia University, 2003