With over 17 years of experience in quantitative equity research and portfolio management, I am passionate about applying big data analytics and machine learning techniques to create and manage innovative investment products that deliver superior risk-adjusted returns. As a portfolio manager at J.P. Morgan Asset Management, I lead the development and management of a $28 million dollar ETF that invests in US large-cap equity stocks with lower volatility and lower drawdowns than the S&P 500. I also leverage my expertise in forecasting macro trends and risk regimes to build a fund-of-fund like investment process that dynamically allocates into different equity funds. I am motivated by the challenge of finding new sources of alpha and enhancing investment performance in a competitive and dynamic market environment. I value collaboration, diversity, and continuous learning, and I strive to bring these qualities to my team and my organization.In my previous role as the head of international quantitative equity research, I was selected to establish a global quantitative equity research team and platform in the overseas office. I improved investment performance in the global investment team by identifying investment opportunities in European and Japanese equities using quantitative and textual data combined with ML techniques. I also reduced portfolio drawdowns by reducing unintended style exposures and analysts forecast errors. I streamlined data acquisition, data storage, model construction, data analysis, and reporting pipelines, and managed a technology team to complete three phases of the research platform. I also managed a team of two people consisting of a senior researcher and a junior analyst, and mentored them to develop their skills and careers. Some of the skills that I used and developed in this role include big data analytics, quantitative investment strategies, NLP, lasso regression, ensemble models, and Barra risk models.
