Performance Measurement and Attribution
Equity Performance Attribution - Designed and implemented a custom performance measurement and attribution application for a premier institutional equity manager, with daily attributions by country, region, industry, and sector for both U.S. and global equity portfolios.
Fixed Income Performance Attribution - Architected and managed implementation of an interactive drill-down solution supporting the fixed income department of a top-tier institutional manager. Differentiated yield curve, roll and convexity effects from active strategy allocation and selection contributions for all client portfolios.
Hedge Fund Performance Measurement & Attribution - Architected and implemented strategy-based performance measurement & attribution application for hedge fund clients of a top-tier prime broker. Integrated data and calculations from multiple trading and accounting systems, for all asset types including derivatives, with multi-level drill-down.
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Risk Decomposition & Management
Risk Measurement & Management - Designed and implemented risk management methodology for a premier global balanced manager. Multiple factors at the portfolio, composite, and benchmark levels, assembled from multiple raw data sources, were used to construct and correlate factor indices, and to detail factor-specific exposure, tracking error, and information ratio, both historical and projected.
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Alpha & Risk Modeling
Factor Modeling - Architected and implemented data and component design for a leading-edge quantitative firm running multi-factor models on U.S. and global equity portfolios. Models designed to be re-usable in all steps of the investment process, including back-testing, indexing, exposure calculation, alpha generation, optimization, performance attribution and risk budgeting.
Factor Research Management - Architected meta-data structures for managing factor research at this premier global management firm. Resultant database used to manage daily raw data collection, direct re-calculation of factor universes, track factor usage in research and operational models, and record historical availability and usage.
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Custom Benchmark Design & Construction
Equity Benchmark Design - Conducted extensive research and modeling of custom benchmark definitions for measurement and client reporting, at a Boston-area boutique manager. Back-tested historical performance and tracking under various market conditions. Results used to define mandate and benchmark for client’s new mid-cap and small-cap value products.
Liability Benchmark Analysis - Designed and implemented system for a premier fixed-income manager to collect client liability stream data and calculate liability benchmarks using customizable methods. Automated liability projection and market data collection, feeding performance measurement and attribution systems with benchmark returns, partial & effective durations, and term structure analytics.
Completeness Fund - Conceived, designed and implemented automated daily construction of Completeness Fund for this hedge fund-of-funds manager. Resultant product removed residual risk vs. client benchmarks, while preserving constituent fund manager alphas.
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Optimization & Back-testing
Black-Litterman Asset Allocation - Adapted the Black-Litterman forecasting methodology (with conditional covariance extensions suggested by Qian and Gorman) for a tool giving fixed-income managers at this premier institution fine-grained control over their excess return forecasts. Designed and implemented optimizer to integrate closely with these forecasts, producing inherently more feasible optimal portfolios than were previously possible.
Optimization and Back-testing - Designed and implemented interface for automating factor research, back-testing, optimization and rebalancing functions for a leading-edge global quantitative manager. Integrated proprietary modules into efficient and coherent front-end process for research department; results integrated on the back end to automate operational trading of long/short equity accounts.
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Derivitives
CDO Modeling & Optimization - Formulated, designed and implemented a custom model for valuing and analyzing Collateralized Debt Obligations for a premier fixed income manager issuing synthetic bespoke tranches. Integrated correlation mapping from traded index tranches with a heterogeneous, single-factor copula model; calculated expected loss distribution and fair spread; generated deltas to single-name obligors. To support ongoing management of the CDO portfolio, implemented optimization capability suggesting obligor substitutions and hedges.
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Research Data Warehousing
Research Data Integration - Evaluated, selected and integrated data sources and suppliers to support the modeling, ranking and scoring processes of a premier global equity investment firm. Designed and implemented processes for updating and managing fundamental, market, corporate action, expectational, economic and benchmark data feeds in an integrated data framework.
Investment Data Warehousing - For a leading global manager, architected and implemented a tiered data warehouse supporting portfolio management, research, trading, operations, marketing and client services. Integrated external and internal databases and feeds; constructed automated systems for update and scrubbing, and for driving interfaces with all analytic and operational systems.
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