Experience

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  Cerno Capital

  • London, England, United Kingdom

  • Intern

    • Jan 2024 - Apr 2024
    • London, England, United Kingdom

    - Improved trading, portfolio monitoring, and investment strategy processes- Developed a backtesting framework in Python, simulated historical portfolio performance using various rebalancing policies, and utilized Monte Carlo simulation to determine the optimal strategy- Evaluated stocks using Porter’s Five Forces framework to assess exposure, competitive structure, and innovation potential, offering portfolio inclusion recommendations- Utilized Python crawlers to monitor and report real-time prices and volatilities of underlying assets in portfolios, driving process improvements, automation, and efficiency enhancements

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  Essence Securities Co., Ltd

  • Shanghai, China

  • Quantitative Strategist Intern

    • Jun 2023 - Aug 2023
    • Shanghai, China

    - Obtained valid alpha return in China A-share market through quantitative research - Developed a high-frequency magnitude factor model using minute-level data, conducted backtests on factor performance (e.g., information coefficient, drawdown) through weekly/monthly position adjustments, and formulated long-short portfolios - Researched ideal investment timings for the momentum factor through technical analysis of capital flow, market trends, and industry indexes, resulting in an approximate 5% annual return from strategic investments in industry indexes - Evaluated convertible bond values by segmenting into bonds and options, assessing valuation bias, implied and related stock volatilities, leading to the creation of related investment portfolios with an anticipated theoretical annual return of close to 25%

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  深圳市大数据研究院 Shenzhen Research Institute of Big Data

  • Shenzhen, Guangdong, China

  • Quantitative Engineer Intern

    • Sep 2022 - Dec 2022
    • Shenzhen, Guangdong, China

    - Developed 'Fixed Income+' products achieving a Sharpe ratio of 3 and a drawdown within 6% post-hedging using futures- Researched the source of returns from liquidity factors, analyzing risk premiums and speculative bubbles, ultimately attributing their logic to investors' herd mentality- Integrated listed companies' earnings announcements and market sentiment during trading days, enhancing the market-timing ability and precision of turnover factors and reducing portfolio maximum drawdown by approximately 5%- Implemented cross-sectional Barra model and deployed gradient descent methods, such as Gaussian-Newton, post-monthly construction of long-short investment portfolios to manage and control their volatility

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  Tsinghua PBCSF 清华五道口

  • Beijing, China

  • Research Assistant

    • Jun 2022 - Aug 2022
    • Beijing, China

    - Researched mutual funds in China meticulously to provide academic reference for funds industry- Assessed mutual funds' stock-selection and market-timing prowess using models like Treynor-Mazuy and Carhart, revealing that approximately 50% of their alpha return stemmed from skill, with 10% attributed to luck through Bootstrap algorithm- Examined stock funds' performance stability and return sustainability using diverse testing methods (e.g., Spearman correlation, performance dichotomy), informing future investment strategies- Conducted comprehensive analysis by comparing fund performance and style against market indexes, employing absolute return, risk-adjusted return (e.g., Sharpe ratio, Sortino ratio), and correlation assessments

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  Harvest Fund Management

  • Shenzhen, Guangdong, China

  • Fund Evaluation Intern

    • May 2021 - Sep 2021
    • Shenzhen, Guangdong, China

    - Conducted comprehensive analysis of both internal and external fund issues for future developmental strategies- Assessed past fund performance holistically, examining qualitative factors (e.g., research team, fund manager, investment style) alongside quantitative metrics (e.g., return, Sharpe ratio, volatility, alpha, beta)- Analyzed real-time news, official policies, and industry reports to identify upcoming popular funds for future focus, continuously monitoring and reporting their performance- Crafted a 'trading blacklist' based on stocks' historical performance, optimized fund stock portfolios, and redistributed investment weights using Markowitz efficient frontier, resulting in an approximate 2% enhancement in annual return

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  深圳高等金融研究院

  • Shenzhen, Guangdong, China

  • Research Assistant

    • Dec 2020 - May 2021
    • Shenzhen, Guangdong, China

    - Analyzed China's asset management industry to promote ESG investment principles for economic development- Compared ESG rating systems to establish a comprehensive measurement system for corporate sustainability and competitiveness- Conducted empirical analyses to understand the predictive role of ESG ratings on company profitability and fund returns- Explored global sustainable investment development paths by comparing concepts, scales, and strategies internationally and domestically

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  CICC

  • Guangzhou, Guangdong, China

  • Investment Consultant Intern

    • May 2020 - Jun 2020
    • Guangzhou, Guangdong, China

    - Aided investors and managers in optimizing their investment strategies for efficiency- Characterized and outlined over 1300 clients' portraits based on investment behaviors, trading volume and operational habits- Developed and organized explanations for anomalous occurrences, such as abnormal turnover rates, within the stock market- Implemented guidance for the trading operation system (IPv6) and uploaded over 6,000 latest data entries into the database