I started my career as an equity analyst covering emerging markets. I learned the trade from my clients - fund managers visiting the companies I was covering. Over the years, while doing my Ph.D. in Finance and working at TD Asset Management, I became a quantitative analyst. For many people, ...more

I started my career as an equity analyst covering emerging markets. I learned the trade from my clients - fund managers visiting the companies I was covering. Over the years, while doing my Ph.D. in Finance and working at TD Asset Management, I became a quantitative analyst. For many people, quantitative finance means black boxes and rocket science. In my teams, quantitative investing meant the disciplined research and implementation of investment philosophies with a sound fundamental background, identifying market inefficiencies and exploiting them in a risk-controlled manner, free of behavioral biases. My over ten years of experience spanned markets and asset classes. As an analyst or portfolio manager, I covered US, Canadian, EAFE and emerging markets equities, as well as Canadian and Global fixed income. Overall, I helped manage over USD 1.5 billion in mandates ranging from low risk enhanced indexed portfolios to long-short market neutral hedge funds and liability driven pension and insurance portfolios. In my research I used various statistical and numeric approaches, such as robust regressions, machine learning, GARCH models, Markov chain approximation, optimization and Monte Carlo. My academic research addresses several important problems that confront asset and risk managers, such as non-normal returns, model risk and market imperfections. While these problems may be still waiting for mainstream solutions, my work has been cited in the Journal of Finance, the Review of Financial Studies and the Handbook of Financial Engineering.less