Mário Albuquerque, Cfa Email & Phone Number

Orange County, California Area

Orange County, California Area

Santa Cruz, California

• Responsible for the development and trading of sentiment-based systematic equity strategies in the US.• Designed and implemented research studies on alpha modeling and data product development within a data science framework: applied machine learning techniques on large datasets to create quantitative factors based on solid hypothesis generation.• Built a backtesting engine, in Python, that handles intraday frequencies, and which was successfully validated by external… Show more • Responsible for the development and trading of sentiment-based systematic equity strategies in the US.• Designed and implemented research studies on alpha modeling and data product development within a data science framework: applied machine learning techniques on large datasets to create quantitative factors based on solid hypothesis generation.• Built a backtesting engine, in Python, that handles intraday frequencies, and which was successfully validated by external parties.• Developed production code in Python, VBA and Windows batch programming language that handled the systematic execution of various quantitative strategies. • Created a research toolkit that continually assesses backtest expectations against real trading to inform strategy improvement, de-leveraging, or retirement. Show less

San Francisco Bay Area

• Responsible for assisting the Risk and Quantitative Analysis Group in managing the risk in passive investment portfolios, and in performing quantitative analysis related to portfolio construction and active return decomposition of exchange traded funds.

• Managed high risk aversion discretionary accounts worth €12 million across the Private Banking segment.• Engaged in investment screening, research and recommendation; portfolio monitoring, rebalancing and reporting.• Implemented financial data modeling and database development activities in order to help other Portfolio Managers in their management tasks (e.g. asset class exposure, duration management and currency hedging).

• Performed investment research and fund selection across all asset classes within the Private Banking unit.• Researched and implemented a VBA based fund selection process which drastically improved the execution time of previous models.

• Managed several pension fund accounts with an active-indexing multi-asset approach.• Worked as a Fund Analyst for the Portfolio Manager of the third party fund-of-funds.• Researched and successfully implemented inside the team a new fund selection quantitative model for fund-of-funds portfolios based on the studies of William F. Sharpe related to returns based style analysis. The implementation was made on the European equities asset class and the fund that ranked first in the… Show more • Managed several pension fund accounts with an active-indexing multi-asset approach.• Worked as a Fund Analyst for the Portfolio Manager of the third party fund-of-funds.• Researched and successfully implemented inside the team a new fund selection quantitative model for fund-of-funds portfolios based on the studies of William F. Sharpe related to returns based style analysis. The implementation was made on the European equities asset class and the fund that ranked first in the selection process at the beginning of 2007 achieved an abnormal return of 7.6% over the relevant benchmark, during the year. The model was being used for several months after I left the team. Show less

• Responsibilities focused on the operating activities (forecasting, budgeting and reporting) of the financial department of a specific business unit: Information & Communications.

Master'S Degree, Financial Engineering

Machine Learning Engineer Nanodegree

Deep dive into Supervised, Unsupervised, Reinforcement and Deep Learning fundamentals. Hands-on application of machine learning algorithms.

Undergraduate, Business Management

Activities and Societies: Member of the students´ traditional music group - Tuna da Universidade Católica Portuguesa. Graduated in the top.

Secondary School, Economics