Managing the Data Science team responsible for delivering decision assitance tools for CDPQ's investment teams.

As an innovation team within the technology vice presidency, our role was to stimulate innovation through the creation of proofs of concept around the use of data science and cloud computing for value creation. Acted as a senior member within a small, multi-disciplinary team with skills in software developement, cloud computing and machine learning. Oversaw the realization of projects, contributed domain and technical expertise, and interfaced with internal sponsors.

Managed, mentored and guided a growing team of data scientists located both in Montreal, as well as in Hyderabad (India). Worked collaboratively with peers to design and develop innovative solutions that could be brought to market. Acted as an ambassador in terms of how machine learning can be leveraged in the supply chain context. Established relationships with cross-functional teams across the globe to provide thought leadership in the area of data science.

Built an analytics expertise withing Public Markets to address the requirements of portfolio managers and traders. Built solutions internally and oversaw the delivery by internal business partners of analytics solutions for the front office. Chaired the Public Markets Analytics working group, a multi disciplinary group involving the main producers of analytics within the firm, and ensure alignment. Oversaw the Portfolio and Execution Support team, responsible for providing operational and functional support to portfolio managers and traders in their use of Bloomberg AIM as the Portfolio and Order Management System. Acted as sponsor of the Portfolio and Order Management System project. This major initiative (the largest at the time at PSP) aimed at replacing the various front office systems by an investment book of record offering built around Bloomberg AIM. Presented regular board updates. Project was completed on time, on budget, and delivered a lot of added value to the front office. Oversaw the implementation of new internal investment activities, ensured regular monitoring of investment activities and that adequate tools were put in place. Performed various analysis as required for upper management. Acted as an interface between portfolio managers and traders, and internal business partners. Represented them in various committees and meetings.

Launched the implementation of a structured monitoring framework for Public Market’s overall portfolio. Monitored the cost of leverage to help determine optimal levels and sources of leverage for portable alpha activities. Monitored passive mandates with external managers and oversaw the operations of these mandates (including ongoing due diligence). Oversaw the implementation of rebalancing decisions related to the global Public Markets portfolio. Acted as the primary interface between Public Markets and internal business partners (facilitator role). Participated in various committees and projects in order to properly represent Public Markets’ needs and interests. Coordinated the implementation of new internal activities (new portfolios, new mandates, new instrument types).

Analysed the risk of portfolios (with full position level transparency) belonging to various hedge fund strategies using internal and external tools and data. Acted as a portfolio manager for the firm regarding funds of funds allocations and approval of changes to trading advisors limits. Coordinated the development efforts of the analysts and interns in the Risk and Analytics group. Designed the architecture of software modules (and coded) in collaboration with the IT team (in an institutional framework) for purposes such as position level performance attribution, automated compliance monitoring and risk reporting. Contributed to the deployment of RiskMetrics for value at risk calculation, exposure measurement, stress testing and other related quantitative measures. Took part in regular ongoing due diligence calls with hedge funds managers to discuss their firm, strategy, performance, views and latest research and development. Summarised platform risk to Innocap’s Risk Oversight Committee members on a biweekly basis.

Developed quantitative models for portfolio management including an absolute return strategy trading various futures contracts, a hedge fund replication strategy based on statistical filtering as well as an alpha extraction strategy based on dynamic hedging. Tasks associated to the management of the aforementioned strategies including portfolio rebalancing, futures contracts rolls, performance monitoring, risk monitoring and regular validation of the accounting of the portfolios. At its peak, AUM was slightly above $325M. Analysis of hedge fund strategies returns behaviour. Invited as a speaker twice for the Battle of the Quants series of conferences to discuss hedge funds strategies performance and the use of managed accounts. Built an R&D financial database that was gathering information automatically from various sources, including Bloomberg. Allocated tasks to interns and provided support to execute them.

Invited on a yearly basis to give 5 lectures on hedge funds in an alternative investments course. Topics include: hedge funds strategies, business structure, performance and risk analysis, standard fee structure including equalization, hedge funds databases, hedge funds indices, managed accounts and funds of hedge funds.

Assuring the communications for the local PRMIA chapter.

Implementation and testing of a model that simulates nominal rates, real rates, and inflation rates over various horizons using mostly Matlab for the development. Implementation of a module that simulates the returns of various structured products. Started as a summer internship and then continued part time.

Modeling of underwater acoustics in order to train anti-submarine warfare helicopter operators. Involved software development in C, C++, as well as assembly code on custom boards.