Distinguished quantitative research and investment management career covering equity, fixed income, asset allocation and risk modeling. High profile presentations for industry and client events in the US, Europe, Asia and Australia. Prolific writer of white papers and journal ...more

Distinguished quantitative research and investment management career covering equity, fixed income, asset allocation and risk modeling. High profile presentations for industry and client events in the US, Europe, Asia and Australia. Prolific writer of white papers and journal publications. Developed, managed, marketed, and led quantitative global products and teams including: • $6 billion in multi-asset class ETF strategies; team of 7 people in Boston and Toronto • $3 billion long only and minimum volatility strategy; team of 6 people in Oslo, Paris, Boston • $26 billion of active equity including market neutral, 130/30, SRI; team of 12 people • $12 billion quantitative asset allocation using equity and interest rate future contracts; team of 5 people • $20 billion of fixed income securities including U.S. treasury, MBS, CMO, corporate, swaps, futures, options Built and employed leading-edge quantitative models: • Regime switching models • Multivariate Garch risk models • State Space forecasting for dynamic factor models • Quantile Regression • ESG factors • Text and data mining • Low volatility investment strategies for equities and currencies • Minimizing CVar • Country and industry rotation • Portable alpha • Credit forecasting • Prepayment, option adjusted spread, CDS, U.S. treasury yield curve, Libor swap rate models Built, implemented, and managed multiple research platforms: • Automated risk control, model, and database updates • Coding in SAS, Matlab, R, Python with SQL databases Results-oriented team builder: • Extensive network of talent, built high performing teams, seasoned mentor • Led investment and cross-functional teams working on up to 30 research projects per yearless