Trained as a computer engineering and quantitative financial analyst, I am interested in empowering financial analysis with quantitative and computational model optimization to tackle real-world investment challenges. Upon graduation, I am intended to enter an asset management firm or a hedge fund as an investment analyst especially focusing on fundamental analysis. In the position, I will look into how my technical background and quantitative skills could be employed to traditional corporate, economic, and political analysis to make sure that every piece of statistical conclusion reveals part of the overall fundamental financial logic. On the other hand, every mathematical model should be scrutinized against fundamental reasoning in terms of presumptions, limitations, dependencies, and interactions, such that the conclusion is robust across various market conditions. In long run, I will establish my own hedge fund to serve the rising Chinese middle-income class and safeguard and maximize their wealth. By inventing “Quantamental” investment academy, teaming with cross-disciplinary investment talents, and reforming the existing incentive fee structure, I plan to revolutionize the hedge fund industry by setting up an industrial benchmark, to make responsible and sustainable investments, to help withstand major financial crisis, and to meaningfully influence the entire business world.

Multi-Asset Solutions Intern

AllianceBernstein

New York, USA, Jun 2022 – Aug 2022

Quantitative Research Analyst

Nanjing Securities

Nanjing, China, Aug 2020 – Apr 2021

  • Conducted thorough research on foreign investment in domestic China A share market. Performed quantitative attribution analysis in terms of sector allocation, stock selection, and position size timing. Implemented a strategy that achieves 203.73% total return with 1.88 Sharpe ratio, -12.39% maximum drawdown, and 50.73% of annualized active return over benchmark index over a 2.7-year bear-bull market cycle by enlarging the investment statistical signals on stock allocation and timing with training and projection of EMA shortfall and smoothed Sigmoid rescaling
  • Constructed a Python backtesting and investment strategy design platform from scratch, which is able to backtest a portfolio of more than 1000 stocks with daily position movement for a 3-year period within 1h. Simulated benchmark CSI300 index and achieved an annual tracking error of as low as 0.61%
  • Analyzed the performance differences of the US and China stock markets based on factors including index compositions, government regulations, market participant profile structures, and fundamental economic cycles

Analyst Intern

CITIC Securities

Nanjing, China, Jul 2020 – Aug 2020

  • Analyzed 21 ETFs from 8 sectors, determined the theoretical yield and actual sector alpha based on CAPM, and strategized leveraged portfolio with market beta hedging positions with annual yield enhancement up to 28.81% and 0.23 increment in Sharpe ratio, completed asset allocation for hundred-million-level wealth management clients
  • Analyzed and improved pricing of Chinese convertible bonds by incorporating cash flow probability analysis for conditional callable clause on top of conventional option embedded coupon bond modelkets based on factors including index compositions, government regulations, market participant profile structures, and fundamental economic cycles

Valuation Analyst

United Overseas Bank

Singapore, Jan 2020 – Jul 2020

  • Co-initiated new Valuation Adjustment team. Applied PV01 of interest rate and FX derivatives positions by Global Markets Department, implemented systematic flow for interest rate valuation reserve calculation, introduced unbiased quantitative attribution analysis to keep track of movement drivers including position size, market liquidity, and cross-departmental optimization factor, minimized attribution error term to zero
  • Took charge of PE/VC valuation and fund investment NAV analysis, conducted valuation on restructured Heng Feng Bank by using comparable company multiples

Market Data Analyst

United Overseas Bank

Singapore, Mar 2017 – Dec 2019

  • Initiated credit curve maintenance in Murex for CS01 monitoring for more than 8000 credit bonds required by Monetary Authority of Singapore, conducted thorough analysis in credit proxy clustering
  • Collaborated with ChinaBond authority and Bloomberg, introduced CNY bond market valuation methodologies to support new onshore business for more than 200 Gov Bonds, Bills and NCDs, and established reliable and automatic pricing protocols for the Bank
  • Balanced yearend valuation for China onshore SGE precious metals against offshore LBMA hedging to avoid limit breach by temporary insufficient quote liquidity
  • Unprecedentedly promoted to team lead as a Senior Officer. Led the data team of two junior analysts in Fixed Income, Credit, Equity and Commodity, completed a comprehensive data analytical system and a series of projects on comprehensive multi-asset-class correlation analysis, equity dividend forecast policy stipulation, CDS and CDS index risk monitoring, and securities pricing quality and delivery timeliness optimization

IT Consulting Intern

Panasonic

Singapore, May 2015 – Aug 2015

  • Performed source code debugging and verification in C and Java for a revolutionary new audio application
  • Set up Linux server environment for the audio communication application with SQL and bash commands
  • Optimized data processing flow, implemented data collection module of an audio machine learning application

Software Development Intern

Rohde & Schwarz

Singapore, May 2014 – Aug 2014

  • Constructed the testing and rectification software in C++ for a new radio frequency surveillance product and reported to the management team based in German in the monthly online meeting
  • Conducted product and system testing, reporting and documentation, and provided debugging opinions
  • Coordinated the software, hardware, and production teams on technical issues

Competitions

  • Group Frist Prize in CICC Asset Management Competition in Jun 2021
  • 4th out of 43 teams and First among single-member teams in Ubiquant trading competition in 2021. Identified a logic bug in the host mock exchange. Proposed solutions which were adopted

Technical Skills

  • Programming: Python, Matlab, R, C/C++, Java, PHP, SQL, VBA
  • Financial: Bloomberg, Refinitiv, Markit