Chief Investment Officer2018 - PRESENTLucy Labs
Focus areas: Investment Research, Portfolio Management, Quantitative Finance, Blockchain, Crypto
- Wrote investment research reports evaluating crypto projects and technologies (samples are available at Lucy Labs website).
- Developed quantitative investment strategies for proprietary trading desk and for outside clients.
- Built portfolio administration and reporting software in Python and R.
- Wrote pitch decks for marketing the company to potential investors.
- Constructed a Monte-Carlo simulation engine in Python to design a custom derivative instrument for a client.
Portfolio Manager2013 - 2018Ubival LLC
Focus areas: Risk Models, Risk Analysis, Managed Futures, Fixed-income Derivatives, Derivatives, Equity
- Created a quantitative derivatives trading strategy that beat the benchmark by 12.5% per annum over five years of live trading. The approach employed a version of the momentum factor, using a combination of quantitative screens.
- Built a customized risk management system, calculating VaR, Conditional VaR, and expected variance. Prototyped the system in MATLAB and converted the production system to a combination of Python and q/kdb+.
- Researched and deployed multiple quantitative strategies using Python and q/kdb+ that exploited pricing anomalies, the carry factor, and volatility compression after earnings announcements in equities, equity options, and volatility futures.
- Developed a custom financial market trading database covering multiple asset classes using q/kdb+.
- Licensed the primary quantitative trading strategy to an investment management firm that wanted to provide their clients with an approach that was uncorrelated with the performance of US equities.
Financial Analyst | Portfolio Manager2004 - 2013Third Avenue Management
Focus areas: Investment Portfolio Management, Equity Valuation
- Identified an investment opportunity in an undervalued Eastern European telecom company emerging from bankruptcy building an investment stake of 20%+; replacing the board of directors; working with the board to recruit a new CEO; revising capital spending plans, restructuring corporate performance; exiting the investment via the sale of controlling stake to a competitor.
- Engaged in a detailed balance sheet exposure analysis to toxic assets for a Japanese financial company during the global financial, leading an investment that returned 300% in two years.
- Led an investment in a newly created Bermuda reinsurance company analyzing insurance sector dislocation, assessing the market opportunity, reviewing the business plan and actuarial assumptions, as well as negotiating the deal structure and the valuation.
- Identified an investment opportunity in a post-bankruptcy Japanese firm that returned 125% over three years, analyzing the country's bankruptcy rehabilitation procedures, examining the post-reorganization cost structure of the company, and performing a valuation of the net operating loss carryforwards.
- Established an investment position as the largest shareholder in an Australian agricultural company and introduced the company to a Canadian competitor, identifying and analyzing operating and strategic synergies, and generating shareholder support for a merger. The combined company was taken over by a competitor at a 33% premium and resulted in a return of 100%+.
- Developed a global supply and demand forecast for the palm oil market based on an analysis of capacity additions, interviews with industry executives, and visits to palm oil plantations before investing in a plantation company that returned 300% in seven years.
- Built a valuation of a privately owned Pacific Island based on a master development plan, as well as interviews with community leaders, local businessmen, and real estate developers, benchmarking the valuation with the alternative use value as a permanent conservation easement.
Research Analyst2000 - 2004Putnam Investments
Focus areas: Equity Valuation, Equity Research
- Performed an in-depth analysis of the Japanese banking sector, examining market segments, demand growth, balance sheet quality, competitive dynamics as well as interviewing company executives and industry experts, building a portfolio of counter-cyclical companies that performed well during the 2002 Japanese recession.
- Analyzed consolidation trends in the Hong Kong retail banking market, assessing branch networks, market positioning, and deposit and lending franchises, before identifying three likely small bank acquisition targets that were purchased by competitors at a premium to the market price in subsequent years.
- Built a financial model that valued Japanese pharmaceutical company's drug pipeline, accounting for differing reimbursement policies and heterogenous global sales and marketing practices.
- Performed a valuation of a privatized Mexican airport operator with limited operating history visiting the airport, interviewing executives and workers, benchmarking the operation against privately and publicly operated airports, leading to the identification of opportunities to grow high-margin incremental revenue per passenger helping the company become the best performing airport stock in the world for a decade.
Equity Research Analyst1997 - 2000Sanford C. Bernstein
Focus areas: Equity Valuation, Equity Research
- Built a global semiconductor manufacturing model, collecting information on 200 semiconductor plants around the world, modeling yields, capacity utilization, technology node roadmaps, and capital expenditures, using the model to analyze and value numerous semiconductor company investments.
- Performed an analysis of the consolidation trends in the US electronics distribution industry, identifying the primary drivers of consolidation, business model changes, and the impact on the structure of the sector. Fostered relationships with the CEOs of two companies, leading investments in both, which ultimately culminated in a merger of the firms that built the dominant US player.
- Identified a short-selling opportunity in a networking hardware manufacturer, analyzing the technology roadmap, projected implementation shortfalls, and the financials for a firm that filed for bankruptcy 18 months after the investment.
- Analyzed the complex corporate structure of a Korean conglomerate and discovered evidence of value transfer between companies, and led an investment in the company that benefitted from preferential inter-company pricing.
- Analyzed the global switching power supply market, identifying both demand drivers and the underlying competitive dynamics. After comparing and evaluating all the major suppliers, selected a Thai subsidiary of a Taiwanese company for investment. The Thai company received free access to the manufacturing technology and R&D of the parent while enjoying lower costs of production in Thailand.
Business Analyst1995 - 1997McKinsey & Co.
Focus areas: Finance Strategy, Capital Budgeting, Equity Valuation, Mergers & Acquisitions (M&A)
- Performed a strategic analysis and created a valuation model for a $250 million acquisition on behalf of a Fortune 10 consumer products company. The acquirer, faced with a declining core market, sought a growth-oriented target, leading to an analysis of market size, growth drivers, competition, and cost and revenue synergy opportunities, the results of which were presented to the board of directors.
- Reviewed 100+ discrete capital projects at a nuclear power plant, verified cost and savings assumptions, and calculated NPVs for each project, identifying unattractive projects and recommending their cancellation to the head of the nuclear division, resulting in savings of $20 million for a $120 million capital budget.
- Established a North American sales and marketing strategy for a European financial services conglomerate, analyzing the performance and profitability of channel distribution partners, interviewing 100+ industry professionals to build a detailed knowledge of distribution dynamics and creating an implementation plan for the new strategy rollout.
- Created a marketing strategy for a pioneering online services company including churn forecasting, customer acquisition cost modeling, and customer lifetime value analysis.
- Updated the capital strategy for one of the largest semiconductor companies in the world, preparing them for a multibillion-dollar and multiyear transition from 8-inch to 12-inch wafer manufacturing, analyzing the competitors' technology roadmap, predicting industry cost curves, and identifying the profitability crossover from legacy to new technology, helping the client accelerate $1 billion in rollout based on strategy recommendations.