Feb 2023 – Oct 2024 · 1 yr 8 mos · Singapore

• Managed a small portfolio of 100mio USD capital and delivered 2% in 2023 and 1% in 2024 until June end with sharpe close to 2.
• Portfolio comprised of a 6 main themes
• (1) systematic carry strategy in FX
• (2) systematic mean-reversion RV strategy (in FX and rates)
• (3) systematic valuation strategy inspired by LSTM implementation in FX pairs, FX baskets and EM Asia rates.
• (4) Systematic momentum strategies in EM Asia FX
• (5) Systematic risk parity/anti-risk parity signals
• (6) Discretionary macro themes in EM Asia for purposes of managing a portfolio.

Jan 2021 – Feb 2023 · 2 yrs 1 mo · Singapore

• Strategist to the CIO/global investment team covering EM Asia ex China.

Feb 2018 – Jan 2021 · 2 yrs 11 mos · Singapore

Sep 2014 – Jan 2021 · 6 yrs 4 mos · Singapore

• FX and Fixed Income Research for South-East Asia and India

Aug 2012 – Sep 2014 · 2 yrs 1 mo

Jul 2011 – Jul 2012 · 1 yr

• Cover Hedge Funds and Prop Trading Firms on Asia Rates including Australia. My core strength is the idea generating capability due to strategy background.

Dec 2009 – Jun 2011 · 1 yr 6 mos

• Series 3,7 and 63 Licensed
• US Rates Strategy: Support the rates trading and sales desks on Treasuries and Swaps by providing daily market commentary, relative value trade ideas and Auction analysis. Responsibilities include advising BNP Paribas clients (mainly leveraged accounts), suggesting team portfolio decisions and composing weekly articles.
• USD Trading: Strategy team collectively implemented nine of my trade recommendations and I executed the trades in our prop book with a maximum risk of 15k/01. Track record YTD : 7 winning trades with a Total Profit of +137k in the last 6 months. Most of the recommendations included relative value/trend based trading around auction days and macro calls on curve.
• Analytical Tools: Developed VBA based tools for PCA analysis on Swap curve and Volatility surface. Aided in the development of tools to explore relative value opportunities in Asset Swap space and Volatility based trades. Developed Excel spreadsheets to identify monthly seasonality patterns and event based patterns.

May 2009 – Jul 2009 · 2 mos

• High Frequency Research: Used kx systems and Q programming language coupled with R to determine the factors affecting the FX basis and the relationship between various FX ECNs (Hotspot, Currenex and EBS) and FX futures.
• Treasury cash and futures trading: Recommended spread trades and as well traded spreads and fly on the basis. Built analytics to track the movements and dynamically find the hedge ratios of the cash vs futures

Dec 2006 – Jul 2008 · 1 yr 7 mos

• Deutsche Portfolio Transition Group
• Created VBA excel based models using Bloomberg data to execute pre/post-trade analysis of global equity portfolios and generated trade lists
• Analysis involved breakdown of the portfolio into categories according to – liquidity, sector, Market Cap, country, currency. Analyzed trading costs of the portfolio by calculating tracking error (opportunity costs), market impact and implementation shortfall (total trading costs while transitioning from legacy to destination portfolio)
• Won the mandate for the largest multi-manager global equities transition done in Deutsche Bank (Asia Pacific) worth $4 bn based on the competitive pre-trade analysis and trading costs
• Prepared a daily summary in collaboration with traders, salespeople and data from Bloomberg and Reuters of economic numbers released in Euro zone, UK and Asian markets, swap flows and the most popular trades put on by clients. Summary was utilized by New York Rates, Capital Markets desk and their clients
• Developed econometric models to forecast change in payroll number for US and US CPI number using linear multiple regression to be used by Structured products business for Pension funds and Insurance companies.
• Designed and implemented an Excel/VBA based secondary trading analysis to keep track of the volumes traded, spreads to treasury and LIBOR of the bonds issued by our clients and their peers. This
• analysis played an important role in timing of the issuance of senior unsecured bonds by our clients.
• Suggested butterfly trades based on mean reversion, Sharpe ratio and half life endorsed by macroeconomic reasoning.

Jun 2006 – Nov 2006 · 5 mos

• Designed and implemented an innovative dictionary search algorithm to reduce search time from 6 sec to 15 ms