Vice President | Portfolio Manager2013 - 2021Newfound Research
Technologies: Python, Risk Models, Modeling, SQL
- Developed, backtested, and operated quantitative, rules-based equity, futures, and options strategies focusing on prudent risk management. Managed over $1.1 billion in the strategy suite.
- Utilized techniques such as regression (linear, nonlinear, and nonparametric), clustering, cross-validation, PCA, machine learning (random forests, genetic algorithms), and data visualization.
- Created and optimized intuitive models for complex market behavior based on financial and behavioral economic theory to add value and expand upon the firm's existing algorithms.
- Utilized Python heavily, including Pandas, NumPy, SciPy, Scikit-learn, and Seaborn, to solve problems and improve task efficiency. Focused on test-driven development and used Github for version control.
- Explained market trends and specific strategy attribution to clients. Wrote market and strategy commentaries, recorded videos, and gave webinars to actively address client concerns and facilitate sales.
- Constructed portfolios with equities, fixed income, alternatives, and derivatives using various approaches such as target volatility, long and short risk parity, and smart beta.
- Applied hidden Markov models for market states in which different investment factors outperform. Calibrated arbitrage-free volatility surfaces using stochastic volatility-inspired models. Adapted Monte Carlo methods to simulate risk more accurately.
Process Engineer2008 - 2013AECOM
Technologies: Visual Basic, Excel VBA, Modeling, Chemical Engineering, Economic Analysis, Statistics, Optimization, Forecasting
- Developed in-house software for process simulation and optimization, equipment sizing, and economic analysis.
- Replicated research from published papers and patents and evaluated the economic feasibility of the process.
- Managed economic and process-based studies within a larger group.