Global Stock Selection Research Team

Modeling and Analytics Group - Chief Investment OfficePart of the quantitative modeling group, which is responsible for researching and implementing trading strategies to better hedge the capital markets exposure originating from Prudential’s Variable Annuity and Retirement platformBuilt comprehensive Matlab models to implement various quantitative and statistical studies. Models were built to exhaustively back-test these strategies across various market regimes and generate a suite of statistical measuresConducted research on more robust hedge basket construction techniques such as Time & State Flexible Probabilities, Constrained OLS, Kalman Filter, Principal Component Regression, Minimum Torsion, Conditional VaR Optimization, Momentum Tilts etc. to better hedge the fund returnsImplemented and back-tested Asset Allocation Strategies such as Risk Parity, Target RiskContribution Portfolios, Factor based Asset Allocation etc. and studied their features and relative performance against traditional strategies such as 60/40 balanced allocation, mean-variance optimization etc.

Calculated a metrics of rate shocks for various stress scenarios for the Muni bond portfolioAnalyzed the relationship between Muni Mutual fund flows and under/out performance of the MMD curve compared to US treasury curveConducted research for identifying a proxy credit curve for CIO’s Covered bond and NA agency debt portfolio