Capital Market & Investment

• Alpha Generation: Conducted US equity Alpha research, developing 20+ low-turnover Alphas quantamentally. Focused on market sentiment & momentum Alphas, incorporating small decays and truncations for enhanced performance.• Simulations & Backtest: Performed extensive alpha simulations via BRAIN, optimizing strategies through robust backtesting and market neutralization. Achieved a 3.54 Sharpe ratio in the OOS test on selected alphas.

•Rate Analysis: Python programmed, visualized & analyzed macro events (CPI/ NFP/FOMC/PPI/GDP) release’s beat/ miss & time-series decay effects on deposit rate offerings, reported to FI team and helped to optimize time deposit type/ volume structure. Cleaned & processed different length time deposit rates offering daily achieved data via Excel VBA.•FI Trading: Researched market sentiment among brokers on FED rate cut expectations over months, assisted PM in developing FI trading strategies, and pitched several IG bonds. Executed daily USD/HKD/RMB MMF/ETF trades; Handled time deposit quotation/ subscription/ redemption via Bloomberg; Assisted in convertible bonds trading.•FX Carry Analysis: Coded yield calculation system for foreign bonds SMA, considering early break options, FX hedging cost, etc. Extracted forwards bid/ask among currencies utilize Bloomberg API, interpolated yield for trading reference.•Tracking Error: Analyzed TLT (Fully Replication ETF)’s TE under different market cycles/ FEDL01 levels from 2005, compared with Sampling Strategy ETF’s TE, and backtested different sampling methods’ tracking accuracy.

•Analyzed the Matthew effect in the Chinese mutual funds market. Collated 184 Chinese mutual funds’ excess returns rate in EQ funds and FI funds over 5 years (2018-2022), made a comparative analysis of the obtained data, and wrote a report. •Optimized the funds’ daily auto-update forms based on Wind Financial Terminal; extracted, transformed, and loaded the financial data of Fullgoal's 14 flagship fund products via Python; compared their performance with the Shanghai Composite index.•Designed and coded fund investment plan analysis table using R to analyze the returns differences between the automatic investment plan and one-time investment in different periods, and drafted brochures on the advantages of it.•Generated automatic Subscription Return Statements via Python as daily marketing materials for account managers.

•Coordinated with the Equity Capital Market team to conduct due diligence and quantitative & qualitative analysis (such as DCF models and multi-factor models), evaluated the equity values of pre-IPO companies in the healthcare industry.•Analyzed the comparative advantages of emerging medical companies based on annual reports, stock market performance, and preferential policies; and wrote reports to assist the Senior Analysts in the rearrangement of the medical sector.

•Set up and coded an international reimbursement platform via Python, considering floating exchange rates and special tax refund rules, and optimized the overseas reimbursement efficiency, effectively reducing the accounting cycle by 70%.•Classified current accounts for the company’s related transactions from Jan 2019 to Jul 2021 via Excel modeling, used PivotTable to process and analyze data and check the associated accounts, and processed over 2 million transactions.• Formulated 14 charts and tables via Tableau and designed 37-page slides for the conference between the company and Shenzhen Nanshan Tax Bureau on the discussion and analysis of preferential tax policies for high-tech champion enterprises.