Senior Quant Analyst / Investment Analyst
Hartford Investment Management - a $140bn multi-asset fund
Developed and implemented fundamental and quantitative models used in investment/trading strategies for the generation of quantitative alpha, including:
- Econometric models for identification of leading macroeconomic indicators, forecasting and analyzing their impact on economic activity, Fed policy/rates, and sector excess returns.
- Proprietary Merton based credit option-adjusted spread model based on equity option implied volatility, for purposes of corporate debt pricing and relative value trades.
- Co-integration fair value models for interest rates, HY/IG credit and swap spreads, based on macroeconomic indicators and aggregate company fundamentals.
Developed proprietary asset allocation models for traditional and alternative assets, including:
- Stochastic asset allocation model in MATLAB, which evaluated and optimized multiple simulated portfolios according to multiple predefined investment mandates or ALM objectives.
- Resampled efficiency portfolio optimization model allowing for assets with non-normal returns.
Developed performance/risk attribution tools, including:
- VBA-based proprietary risk analytics reporting tools and ran customized portfolio performance and risk attribution reports in fixed income analytics platforms such as BlackRock, Yield Book and Lehman Point.
- Customized tools providing alternative risk analytics for the in-house fund of hedge funds.
- Collaboration with fixed income portfolio managers, strategists and fundamental analysts on project teams. formed to define, acquire/develop, and implement systems, risk models, and processes that enhance risk management, portfolio and security analysis, and various reporting and analytical requirements, with a focus on non-dollar and emerging markets.
Enabled the development of infrastructure for the startup of a dedicated EM Corporate Debt ETF, incl.:
- Researched and prepared a white paper and sales force/client marketing presentations to make the case for EM Corporate Debt as an up-and-coming sub-asset class.
- Constructed and optimized model EM Corporate Debt portfolios to achieve target yield/rating
- Developed automated tools for time series and cross section analysis of EM Corporates' aggregate fundamentals for purposes of debt pricing and relative value recommendations.