Toronto, Ontario, Canada
• More than ten years of quantitative finance and investment research experience • Hands-on systematic portfolio management experience • Strong quantitative knowledge and understanding of modern portfolio theory
Researching and building multi asset class systematic factor-based framework for CPPIB’s asset allocation, risk modeling and total fund rebalancing and managing exposures
Researched and built systematic macro strategies (for CPPIB’s GTAA portfolio with a $500M risk budget) for various asset classes: currency forwards, commodities, equities, bond and VIX futures. Assisted senior portfolio manager in managing systematic absolute return G10 and Emerging Market currency portfolio with a $200M risk budget (part of CPPIB’s GTAA portfolio). Responsible for portfolio construction research such as enhancement of risk budgeting and portfolio optimization processes. The Global Tactical Asset Allocation (“GTAA”) group within Public Market Investments is responsible for generating excess returns by taking macroeconomic risk. It takes top-down, active positions in and between global asset classes such as equity, bonds, currencies and commodities. GTAA uses both fundamental and quantitative approaches to establish its views.
Assisted senior portfolio manager in managing and optimizing the short portfolio/hedging basket ($50B notional) for the fund’s private investments. Responsible for backtesting, analyzing, and evaluating quantitatively and qualitatively the optimization framework for constructing optimal hedging basket.
Main responsibilities included supporting the Global Arbitrage and Trading (RBC's prop trading group) and Global Equity Linked Products’ traders
Prof. John Hull (Options & Futures Markets, Derivatives, Financial Risk Management), Prof. Alan White (Advanced Derivatives): Conducting supplementary teaching sessions and marking assignments Prof. Frank Hayes (Corporate Financing): Evaluating the financial analysis of students’ corporate finance projects including forecasting financial statements, DCF models, Comparable company analysis and their financial strategy