Munich, Bavaria, Germany
Senior Investment Manager for Equities within the Tactical Asset Allocation Division of the Group Investment Management. Focus on Data Analytics: - Developing machine learning models for return predictions of equity regions and styles - Analyse risk-return profile across asset classes - Developing dynamic trading strategies across multiple asset classes - Review and implement findings from academic literature
- Lead Portfolio Management responsibility for 3 Global Multi-Asset Portfolios with risk budget constraints for institutional clients - Coded portfolio optimizations in R based on min. variance, max. Sharpe Ratio and min. CVaR which were implemented in absolute return sleeves in the team - Researched state-of-the-art quantitative methods for an equity overlay model based on macroeconomic leading indicators, momentum, sentiment and positioning; implemented the model in MATLAB
- Acting as Lead Portfolio Manager for 5 Global Multi-Asset and 1 Global Equity portfolios - Researched and implemented risk-factor based macro-driven investments for Absolute Return portfolios - Coded in R a dynamic equity risk factor-based Emerging Markets country allocation model - Structured multi-leg option and future strategies with asymmetric payoff profiles depending on market view and volatility surface; Trading responsibility for stocks, bonds, futures, options, swaps and CDS - Programmed VBA-based trading sheets for automated order generation and hedging calculations
- Constructed and implemented global multi-asset portfolios for Ultra High Net Worth Individuals - Programmed backtests and scenario analysis for dynamic asset allocations - High initiative and enthusiasm is reflected in ranking as TOP 3 analyst in the EMEA region
- Developed multi-factor models to forecast Sovereign Bond Yields at Fixed Income Research - Programmed a VBA-based interface to evaluate client positioning in G4 currencies at FX Trading - Programmed a MACD-based trading strategy on EUR/USD at the Financial Markets Desk in New York - Constructed and backtested Momentum strategies at Equity Portfolio Management