Head Of Quantitative Research, Portfolio Manager, Currency Investment Unit
•Part of a 3-member PM team that actively managed $20 billion in currency overlay across Fixed Income, Equity and Global Asset Allocation portfolios as well as stand alone currency mandates and a currency fund. •Strong 9-year track record with an information ratio of 0.79•Currency Manager of the Year from Professional Pensions in 2007 and 2009 and Pensions and Investments in 2008 and 2009•In charge of designing and implementing the quantitative research agenda for the team as well as managing a team of dedicated quant researchers. Enhancements include: •The launching of an Emerging Markets model that added breadth to the process with an IR of 0.63 over the 3 yrs since inception •Addition of factors such as a Regime Technical model and a Global Growth Index that improved the simulated IR of the model by 0.5 •Better risk controls in the optimization including portfolio concentration constraints, dynamic weighting of factors and scaling volatility based on risk aversion that reduced simulated draw downs by 25%•Instrumental in restructuring the team’s fundamental trading process at the start of 2008 and increased qualitative responsibility to include all of G10. My trades generated annual returns of 0.6% (0.4% risk budget) over the last two years.•Represent the team by both marketing to potential clients and servicing existing clients with special requests.
