Singapore
• Located in Switzerland, it is a hedge fund company focused on quantitative trend following investment strategies, with investment covering more than 80 highly liquid global futures markets. • Developed a top-down model to replicate a 19-year daily return series by applying different rolling regression methods (stepwise, LASSO, ridge, elastic net). The model reached an annualized tracking error around 4% and an accurate prediction on daily top 10 risk exposures, which enable us to detect the daily risk shifts. • Developed a bottom-up trend following trading strategy to feature competitors’ and benchmarks’ performance with market returns since 1992, by using different ways of generating buy and sell signals. Combined with the previous method, this model can increase the accuracy of the prediction and impress investors how Quantica’s strategies differ from others that given us generally higher returns and slightly higher risks. • Averaged all fore-mentioned models to fit return series of 20 competitors and benchmarks to estimate their daily changing position weights and how their risks are allocated across both instruments and asset classes. • Currently cooperate with the Head of Research to develop a graphic user interface in python environment, that implements the replication model; CIO has included the model results when presented to investors.
•Analyzed the structure and performance of other financial products in the market. Concluded a report with key factors that influenced product profits. Also analyzed whole-year product performance data to find out the influence of those new products to the existing market and customer preference for the product types. • Facilitated relationship manager offering services to customers that are interested in personal investment, FX markets and different derivatives (forward, futures, options).