Currently writing three revolutionary Quant papers: ► first on the objective function used by most Quants which is not optimal ► second on how to build significantly better risk models used in optimal portfolio construction. ► third on concentrated portfolios. QUANTITATIVE PORTFOLIO ...more

Currently writing three revolutionary Quant papers: ► first on the objective function used by most Quants which is not optimal ► second on how to build significantly better risk models used in optimal portfolio construction. ► third on concentrated portfolios. QUANTITATIVE PORTFOLIO MANAGEMENT: ►Alpha, Smart Beta, Multi-Factor, Minimum Variance, Maximum Diversification, Risk Parity, ESG integration, Direct Indexing. ►US, Europe, UK, Emerging Markets, Asia, Japan, Global, Canada, Style and industry strategies. Long only, 130/30 and/or Long/Short. ►Successfully managed $B in systematic/quant AUM. INNOVATIONS: ► Quadratic Utility Function (apology to all quants who use it); 1. Active risk aversion is much bigger than total risk aversion. 2. Quadratic utility function is irrelevant with today’s optimizers. ► Using Macroeconomic sensitivities to: 1. Enhance return 2. Build better Asset-Liability matching portfolio (of interest to large pension plans) ► Understanding of the Negative Specific Return Drift EXPERTISE: ► ALPHA Forecasting and Calibration: Forecasting techniques, Econometrics, Robust statistics. Adaptive methods, machine learning… unique signal development with higher IC ► Custom risk models to get perfect Alpha-risk factor alignment leading to higher IR ► Custom Factor Risk and Performance Attribution ► ESG integration to any strategy (passive, active, smart beta) RISK IS GOOD... when properly managed!less