Ke-Liang Chen Email & Phone Number

Walnut Creek, Ca

Sausalito, Ca

Strategy Research and ImplementationLong-Short• Developed and maintained in-house alpha-model back-testing systems for both traditional (fundamental) and mid-frequency signals globally. • Constructed momentum and reversion models to capture inefficiencies driven mainly by investors’ emotions, such as both cross section and time series reversal models, cross sectional momentum models, and trend following (time series momentum) models. • Built the proprietary alpha signal forecasting system to determine the daily optimal weight for each signal.• Designed the scaling methodology to average into daily positions for each individual signal.• Monitored and analyzed trading costs and risks and then improved trade execution strategy to reduce implementation costs and shortfalls. Market-Neutral• Developed Japan stock-specific alpha model and oversaw the Japan market-neutral fund and strategy from July 2006 to December 2008 totaling approximately $52 million USD. • Applied Northfield Japan risk model to control systematic factor risks.• Constructed and implemented several other market-neutral strategies for US large-cap fund, Europe large-cap fund, and Asia-Pacific ex-Japan strategy, respectively. Enhanced-Index• Validated and reformulated 3 long-only equity models to generate returns higher than their respective benchmark indices while keeping the tracking errors below 1.5%. • Monitored the 3 enhanced-index equity strategies: Swiss, Europe, and Global, from January 2005 to December 2006 totaling about $491 million USD.• Incorporated robust in-sample and out-of-sample methodology to our proprietary back-testing system. Operations and Client Services • Interacted with prime brokers to update our robust operational infrastructure to automate daily trade booking, position reporting, trade reconciliation, and performance tracking.• Maintained and improved in-house universal trading platform.

Los Angeles, Ca

• Constructed and automated a performance attribution analysis using VBA for US and Japanese market-neutral funds.• Simulated and performed Connor & Korajczyk’s asymptotic principal components analysis to extract factors important for driving the common variation in stock returns, and ensured the consistency of identified factors in rolling 36 month estimations.• Reviewed the SAS and VBA codes used to construct portfolios and to forecast daily volatility.

Master'S In Financial Engineering, Finance And Financial Management Services

Master Of Financial Engineering

Coursework includes: Derivatives, Quantitative Methods in Derivatives Pricing, Empirical Methods in Finance, Risk Management, Fixed Income.

Master Of Science (Ms), Business Administration (Concentration: Finance),

Activities and Societies: Beta Gamma Sigma Honor Society

Bachelor Of Science (Bs), Mathematics

Activities and Societies: table tennis team