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Matteo Castagna

Portfolio analysis, risk & investment management. Operations.

Work experience

2015current
Fidelity International - Multi Asset (London)

Head of Portfolio Analytics

Responsible for the team of analysts providing intelligence on existing portfolios, advisory accounts and portfolios building blocks (including both active and passive investments). Covered the different disciplines both on ex-ante and ex-post basis alongside tests and sanity checks. Delivered regular reports and ad-hoc notes.

Key stakeholders: FIL Global Business Operations (direct report to COO), portfolio managers/CIO, investment directors/distribution, FIL Investment Management Risk.

New technologies/systems have been implemented following an agile process. Delivered on the requirement of providing the best possible information about how the money is managed. This was deployed for both internal and external consumption thanks to the adoption of advanced enterprise data management and use of innovative visualisations enhancing the quality and appeal of the broad reporting suite.

  • Portfolio analysis: covered exposure/concentration, sensitivity, ex-ante risk (expected volatility/VaR, scenario analysis), ex-post performance (returns and attribution/contribution), peer group analysis, liquidity metrics.
  • Risk management: risk analysis at portfolio level and, crucially, exploring contribution/attribution focusing on factor models; close relationship with the internal risk management functions covering regulatory requirements.
  • Team management: promoted of personal growth and acquisition of new skills for the team members. Automation of recurrent jobs and focus on value-added analysis.
  • Personal development: up to date with industry developments and research; constantly explored new ways of doing things. Attended relevant seminars and wrote notes about risk and investment management in the context of the current market situation.
  • Relationships: built a network of contacts within the company making sure the team was aware of the various developments and priorities. Kept regular dialogue with the stakeholders adapting the information provided following their requirements.
20092015
Old Mutual Asset Managers/Old Mutual Global Investors (London)

Principal: Head of Market Risk and Performance

Principal – Head of Investment Risk and Performance. Leading a team of four responsible for market risks, performance reporting and analysis for OICS, offshore UCITS, NURS and Hedge funds, covering a wide range of portfolio management styles and strategies including Long Only, Market Neutral, Macro, Quantitative modeling, Statistical Arbitrage and CTA.

All traditional asset classes and instruments covered.

Key role in shaping new products’ investment guidelines (helped creating the GEAR fund which is now a multi-billion fund); provided information packages presented at board meetings, due diligence processes, RFPs and sales meetings.

  • Devised and implemented in house investment risk framework delivering measures for VaR, exposure and concentration, sensitivities, stress testing, market liquidity risk (both for equities and fixed income) alongside the relevant set of sanity checks. Devised and implemented analysis of risk adjusted returns.
  • Devised and implemented the counterparty risk data collection, reporting and analysis.
  • Developed reports for return analysis (attribution and contribution) and peer performance analysis based on Morningstar/Factset.
  • Developed the framework for validation of back-tested returns analysis, assisting portfolio managers pre-launch.
  • Provides up to date market news and comments using information from investment banks letters and a wide array of blogs.
  • Maintains close contacts with all the fund managers providing them with informal comments about fund performance and risk allocation.
  • Provides the relevant information and updates to comply with regulatory requirements with the relevant regulatory bodies (e.g. FCA, CBI)
  • Regular meetings (formal and informal) and updates with Heads of desks, COO and CEO whenever this is advised given market conditions, portfolio changes and performance developments
  • Attended training and 1:1 coaching sessions to enhance management skills (CURO consulting).
  • Active mentoring of team members making sure they gain confidence and visibility in the firm.
20062009
Próxima Alfa Investment - BBVA Group (Madrid - London, New York)

Executive Director - Risk Management

Senior Vice President and Risk Management Director of a 4 person team responsible for measuring market risks for 11 platform funds, covering a wide range of strategies including Global Macro, Fixed Income Relative Value, Long/Short Equity, convertibles and Commodity Strategies. The combined platform manages approximately USD 3Bn.

  • Conducted the Portfolio modelling, VaR measurement, concentration analysis, stress testing and a set of sanity checks.
  • Devised the correct portfolio model depending on the strategy and the asset class involved.  Bucketed the portfolios into relevant risk factors and focused on the quality of market data in order to correctly express their evolution.
  • Monitored the Value-at-risk (VaR) of the funds using three different VaR models (parametric, full revaluation, Monte Carlo simulation).Original solutions (e.g. heteroscedasticity corrections) discussed and applied.
  • Monitored the Greeks (DV01, Gamma, Vega, and Theta) and performing stress tests on the portfolio.
  • Worked closely with Quant Development team based in London to enhance Risk Analytics.
  • Regular conference calls with significant investors who need to understand risk, performance attribution and outlook for the fund portfolios. Also briefing investors conducting the due diligence of the various funds.
20042006
Vega Asset Management (Madrid)

Vice President - Middle Office Operations

  • Led a project focused on market data processing; P&L and risk applications development.
  • Used VBA coding extensively and ensured correct valuations of funds portfolios. NAV was always finalized within the 5 business days of each month . Vega has never restated the monthly NAV since its inception.
  • Regular meetings with fund managers with an aim to improve market dataset and portfolio approximations.
20041999
Banco Zaragozano/BZ Gestión (Madrid)

Treasurer/Fund Manager

  • Headed the institutional Fund Management group with approximately €700mm AUM. Director of a team of five fund managers. BZ Gestión institutional funds managed to achieved the top percentile during 2003.
  • Appointed the Head of Capital Markets Unit within treasury operations 1999-2002. Managed the Proprietary portfolio and maintained a direct daily relationship with the bank CEO and the two main shareholders of the bank.
19981999
Banesto (Madrid)

Proprietary trader

  • Focused on interest rates products and also equity indexes and FX securities.
  • Developed models and databases with an aim to build positions exploiting market inefficiencies and arbitrage opportunities.
19931998
Bankers Trust Co. (London, Milan, Madrid)

Proprietary trading - Vice President

  • Initially focused on the Italian bond market: relative value and fiscal arbitrage being core activities and then to relative value activity involving money market instruments on ESP, ITL and PTE interest rate curves.
  • Developed models focused on interest rates curve, bond futures basis, TED spread.
19901993
Banca Euromobiliare (Milan)

Bond market analyst

  • Wrote weekly and monthly market letters for clients and various primers on the Italian bond market. Maintained contacts with specialized press (Financial Times, Les Échos, Il Sole24 Ore)and have been cited extensively.
19871990
Universita' "L.Bocconi" (Milan)

Teaching assistant

  • Teaching assistant for Economics base course and Microeconomics advanced course.

Education

2012present
Coursera platform

MOOCS

  • University of Washington - Prof. E.Zivot, Introduction to Computational Finance and Financial Econometrics, 2012 - 2013 (100%)
  • John Hopkins (Bloomberg school of Public Health) - Prof. Jeff Leek - Data Analysis, 2013 (92.9%)
  • John Hopkins (Bloomberg school of Public Health) - Prof. Roger Peng - Computing for Data Analysis  2013 (100%)
  • University of Washington - prof. Bill Howe - Introduction to Data Science, 2013 (100%)
    Practical data science: relational databases, MapReduce, NoSQL, statistical modeling,
    basic machine learning, visualisation (Tableau) and a variety of algorithmic topics. Analysed properties of
    a 0.5TB (a billion vertices) graph using Pig/Hadoop
  • Columbia University - Prof. Marting Haugh and Garud Iyengar, Financial Engineering and Risk Management, 2013 (100%)
  • University of Virginia - Prof. Philip Zelikow, The modern world: global history since 1760, 2014 (grade 98.8%)
  • Yale University - prof. Robert J. Shiller, Financial markets, 2014 (97.4%)
  • University of Pennsylvania - Prof. R.Ghrist, Calculus: Single Variable, 2014 (90.3%)
  • University of Michigan - Prof. Scott E. Page, Model Thinking, 2014 (95.2% - with distinction)
  • Rice University - Prof. Scott Rixner, Prof. Joe Warren, Prof. Luay Nakhleh, Principles of Computing (Part 1), 2015 (100% - with distinction)
  • Rice University - Prof. Scott Rixner, Prof. Joe Warren, Prof. Luay Nakhleh, Principles of Computing (Part 2), 2015 (100% - with distinction)
19831989
Universita' "L.Bocconi"

Discipline Economiche e Sociali (D.E.S.)

BA in Economics:  5 year course "D.E.S", achieved 110/110 marks and passed with cum laude.

IT Proficiency

Publications

  • La misurazione dell’efficienza economica: un’applicazione al settore bancario italiano - Ricerche Economiche, XLV, 1 JAN-MAR 1991, pp 57-77;
  • Misurazione dell’efficienza e valutazione dei rendimenti di scala nel settore bancario italiano - BANCARIA, FEB 1990.

Languages

  • Italian: mother tongue
  • English: fluent
  • Spanish: fluent
  • French: elementary