François-Xavier Adam Email & Phone Number

Montreal, Qc, Ca

Montreal, Quebec, Ca

Leads MACS Team

Toronto, Ontario, Ca

I designed and implemented advanced portfolio construction and optimization techniques. I took a leadership role in improving investment and portfolio construction processes in terms of structure, robustness, sophistication, replicability and automation. I extensively researched complete suite of long only equity risk factors based on Barra methodology with focus on downside protection, relative valuation, and Business Cycle exposure. I successfully built 2 enhanced-SMA solutions (Balanced and Equity Growth) combining single names and ETF completion portfolio. I also developed and implemented peer tracking methodology including advanced variable selection process. I researched risk budgeting methodologies for asset allocation purposes. I worked extensively in developing in-house CMAs’ methodology including implementation of variance-covariance forecasting. I developed a complete suite of macro/market regime indicators including Business Cycle, Inflation Cycle, Risk Appetite, Credit Condition Cycle and Recession Probability; with application to Tactical Asset Allocation, country, sector and style/rotation. I extensively researched alternative risk premia strategies in the context of completion portfolio covering cross-asset momentum, value, carry and downside protection. I implemented ML-based fair value methodologies for various assets.

Montréal, Québec, Ca

I researched, designed and implemented systematic cross asset core-satellite strategies based on risk premia, multi-layer TAA and specific asset-based components (ex. multi-layer FX strategy). With a monthly investment horizon, this multi-billion long-short portfolio covers 40+ assets including country equity indices, bonds, FX-DM, FX-EM and commodities. This pure alpha portfolio’s objective is to provide an uncorrelated stable rent under both absolute and marginal VaR contribution constraints, it relies on advanced portfolio construction methodologies.Key tools used: Object Oriented Matlab, Bloomberg API, OECD Vested Data, Fred/Alfred, Murex.Key Topics: Cross Asset Risk Premia, Asset Allocation, Portfolio Construction, Portfolio Optimization, Effective Number of Bets, Cluster Risk Parity, Macroeconomic Analysis & Research, Flow Analysis, Cross Asset Alpha.

Montréal, Québec, Ca

I designed and implemented systematic multi-asset CTA strategy. This cross-asset momentum model is based on 20 liquid futures contracts and forwards including stock, bonds, commodities and currencies. I directly managed a team of 4 quantitative analysts with alpha generation and productivity improvement dual mandates.Key tools used: Matlab, Bloomberg API, Murex.Key Topics: CTA, Maximum Diversification, ERC, Cross Asset Alpha, Dynamic Cross Asset Pairs Trading, Adaptive VIX Carry, Sentiment.

Montréal, Québec, Ca

I designed, implemented and adjusted systematic G10 currency strategies based on behavioral and technical factors. I oversight implementation of trade ideas within pure alpha managed mandates with strong emphasis on position management. Key tools used: Matlab, Bloomberg API, Murex.Key Topics: Model Averaging, Implied Volatility Fair Value, Risk Budgeting, Cross Asset Alpha

Montreal, Quebec, Ca

I designed, implemented and adjusted portfolio optimization models for asset mix purposes. I oversight implementation of trade ideas within pure alpha managed mandates with strong emphasis on position management. I identify and analyze major shifts and trends in hedge fund industry. As part of my daily duties, I closely co-managed a team of 4 traders.Key tools used: R, Bloomberg API, Microsoft Excel.Key Topics: Market Positioning, TAA, Portfolio Optimization.

Toronto, Ontario, Ca

I designed a quantitatively driven, market neutral pairs trading model for Russell 3000 universe, based on fundamental, quantitative and technical filters. I provided trade ideas for enhanced indexed portfolio, benchmarked on S&P 500. Key tools used: eViews, Bloomberg API, Microsoft Excel.Key Topics: Stock Pairs Trading.

Toronto, Ontario, Ca

I assumed implementation of currency strategies across all funds in the business lines. I acted as intermediary between currency manager and counterparties. I provided up-to-date market information to currency manager. Key tools used: Microsoft Excel, Bloomberg.Key Topics: FX Trading, FX Portfolio Management, FX Alpha.

Master Of Science (M.Sc.), Econometrics

Bachelor Of Science; B. Sc, Economics