Quantitative Strategy Developer @ Ebullio Capital Management
Investment Risk Manager, Quantitative Strategy Researcher and Portfolio Manager @ Viognier Capital Management LLP
Anglia Ruskin University
Experienced in providing quantitative analysis and research, ideas and enhancements, tools and visualisations for all investment strategy decision processes; alpha search, position timing, portfolio construction, trading, risk and liquidity management. Capable of enhancing / building investment strategies, decision layers and implementation processes; conducting strategy research, modelling, back-testing and cross validating; providing market behavioural and thematic factor timing
Experienced in providing quantitative analysis and research, ideas and enhancements, tools and visualisations for all investment strategy decision processes; alpha search, position timing, portfolio construction, trading, risk and liquidity management. Capable of enhancing / building investment strategies, decision layers and implementation processes; conducting strategy research, modelling, back-testing and cross validating; providing market behavioural and thematic factor timing indicators; dynamic portfolio allocation, risk management and portfolio construction solutions.
Skilled in many research methods: applied statistical methods; filtering; pattern recognition; signal extraction; evolutionary-algorithms; statistical- / machine-learning methodologies (regression, categorisation / decision, ensemble, forecasting); optimisation, risk management and portfolio construction; econometric and time-series methods.
Senior risk analyst / consultant with expertise and practical skills in delivering risk analysis and value-adding risk management advice across Equities (mostly), Fixed Income, Commodities and Derivatives. Involved in all levels – from risk budgeting, stress testing and reporting to business risk appraisal and policy decisions, from strategy consultancy, process and implementation enhancement to new product specification and marketing.
Experienced in risk modelling; analysis and monitoring; VaR attribution; stress tests / scenario modelling; liquidity analysis; key risks, hot spots and exceptions; thematic exposures & return drivers; style analysis / sensitivity and factor modelling; performance attribution; alpha / strategy understanding and factor mapping; market correction modelling / prediction; tactical hedging, thematic trade ideas; quantitative portfolio overlays and smart beta; dynamic allocation techniques; portfolio construction and optimisation; strategy consultancy and process enhancement.
Several years coding in Matlab, R & Python.
Director @ Developing market behavioural and risk indicators. From April 2015 to Present (9 months) London, United KingdomData Scientist / Statistical Research Analyst (short-term contract) @ Researched and developed delivery volume forecasting models across a “big data” set, applying multiple machine-learning models to automatically search across and optimise filtering, time-series decomposition (seasonalities and trend components), dummy regression and ARIMA decision layers for identifying and forecasting seasonal variations and day-of-week patterns (applying a novel time-line re-mapping) in postal volumes across nine formats for over 1500 delivery offices. My prototype model, built in R and Access, is now Royal Mail’s production level solution. From October 2014 to March 2015 (6 months) London, United KingdomQuantitative Strategy Researcher @ Researched and developed quantitative systematic strategies across liquid commodity futures. Achieved outstanding out-of-sample test results with an evolutionary systematic managed-futures strategy (4 year return 16.5% p.a., Sharpe 3.3, mean return p.a. / max draw-down 4.6, average leverage From January 2013 to October 2014 (1 year 10 months) Southend on Sea, United KingdomQuantitative Strategy Researcher & Risk Analyst @ Launched an equity multi-strategy hedge fund with the ex-head of prop trading from Lehman Brothers. Researched alpha directions, built systematic strategies and process enhancements (including a machine-learning evolutionary trend-following strategy production system) and modelled thematic and behavioural processes for tactical / dynamic strategy risk allocations. Implemented risk management processes, for monitoring an array of long-short equity and index futures strategies with risk, exposure and stress scenario models. Involved at all levels of the business. From February 2009 to September 2012 (3 years 8 months) London, United KingdomTactical Risk Specialist and Quant Equity Strategist @ Brought in to enhance the risk management capabilities and quantitative views and edge across proprietary equity trading activities (cash equities and derivatives). Headed an autonomous team providing risk management colour and tactical quantitative strategy advice to the head(s) of equities on thematic factor exposures, key P&L drivers, risk hotspots, quantitative strategic views, screening, smart beta hedges and trade ideas. Directed a team of four quant analysts, building market behaviour and portfolio analytical systems. Member of the Equity Risk Hub (investment committee) of heads of the floor and proprietary trading groups and globally called upon as a thought resource in quant and risk. From December 2005 to January 2009 (3 years 2 months) London, United KingdomQuantitative Consultant @ Provided risk management advice, quantitative analysis and fundamental plus technical factor-score stock screening tools to the portfolio managers of an equities hedge fund. From March 2005 to November 2005 (9 months) London, United KingdomHead of Equity Risk & Quant @ Built and headed the quant team, providing portfolio managers with return-enhancing quantitative alpha analysis and risk-management / portfolio implementation advice across the spectrum of equity strategies / funds, while researching and developing quantitative strategy components with the aim of providing risk-return enhancing tools and portfolio overlays to fund managers and / or developing stand-alone quantitative systematic strategies. Provided research and advice on key thematic drivers, style / thematic factor timing, view / alpha risk-budget alignment and portfolio implementation and tactical hedging. Explored factor timing methodologies and quantitative alpha sources (fundamental + technical), as components for portfolio overlays or stand-alone strategies. Key presenter to clients and consultants. From January 2003 to February 2005 (2 years 2 months) London, United KingdomSenior Quantitative Risk Analyst @ Primary resource for quantitative research studies, multi-asset class risk management & portfolio construction analysis (stock selection and asset allocation) – predominantly within equities. Equity investment style / thematic factor modelling (cross-sectional valuation dispersion, factor timing and return tracking) and performance attribution. From March 1997 to November 2001 (4 years 9 months) London, United Kingdom
PhD, Financial Economics @ Anglia Ruskin University From 1993 to 1997 BSc, Mathematics with Economics @ University of York From 1988 to 1991 Andrew CFA is skilled in: Trading Strategies, Portfolio Management, Quantitative Analytics, Trading, Equities, Derivatives, Risk Management, Financial Modeling, Hedge Funds, Bloomberg, Financial Markets, Proprietary Trading, Fixed Income, Hedging, Quant Reserach
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