Experience

Fonditel

• Spain
• Investment Management
• 1 - 100 Employee

• Quantitative Multi-Asset Portfolio Manager GTAA @ Telefonica´s Pension Fund Asset Manager

  • Mar 2013 - Present

  Management of Pension & Mutual Funds via multiple assets (Equity, Fixed Income, FX and Commodities) and investment vehicles.Effective communicator & coordinator of multidisciplinary projects across teams.Active contribution to the fund's strategic asset allocation decisions and tactical trades execution via a broad set of state of the art decision-making tools that comprise the full spectrum of market information, from slow-motion macro data to high-frequency technical market… Management of Pension & Mutual Funds via multiple assets (Equity, Fixed Income, FX and Commodities) and investment vehicles.Effective communicator & coordinator of multidisciplinary projects across teams.Active contribution to the fund's strategic asset allocation decisions and tactical trades execution via a broad set of state of the art decision-making tools that comprise the full spectrum of market information, from slow-motion macro data to high-frequency technical market data. Emphasis placed on reaching an ongoing top-down market view based on macro developments to ascertain the current and incoming economic cycle phase and the corresponding assets expected average behavior. Decision making applied via an effective mix of fundamental principles and quantitative techniques.Performed Risk Premium/Smart Beta portfolio design to harvest sets of investable premiums with the desired properties, factor exposures, and risk allocations through most liquid assets. Quant modeling aimed at designing investment processes, evaluating dynamic risk management processes, developing decision support systems and engineering systematic trading rules. Examples of this quant modeling activity would comprise a wide array of disciplines, from recession detection tools engineered to get a grasp of future macro turning points to systematic daily trading processes to name a few. Designed plain vanilla option/futures strategies for hedging and taking action on the tactical views. Performed ex-ante risk allocation, risk budgets, portfolio rebalancing, etc. Wide variety of quant techniques/tools applied: optimization, fuzzy logic, machine learning, deep learning, predictive analytics and pattern matching.Matlab User, R user & VBA for Excel user Show more Show less



BBVA

• Spain
• Banking
• 1 - 100 Employee

• Global Tactical Asset Allocation (GTAA), Quantitative Strategist

  • 2006 - Feb 2013

  Asset allocation strategy spanning all major asset classes, top down market analysis and investment process design. Decision support oriented model building directed at dynamic asset allocation at the strategic (from the macro data to the asset classes, mainly Equity, Bonds and Cash) and tactical level (more focused in market internal metrics). Equity indices weekly and daily forward looking downside risk modeling (risk of a market crash given some fundamental and technical readings) to… Asset allocation strategy spanning all major asset classes, top down market analysis and investment process design. Decision support oriented model building directed at dynamic asset allocation at the strategic (from the macro data to the asset classes, mainly Equity, Bonds and Cash) and tactical level (more focused in market internal metrics). Equity indices weekly and daily forward looking downside risk modeling (risk of a market crash given some fundamental and technical readings) to support investment and timing decisions Decision support systems techniques comprise clustering and forecasting through regression trees, self organized maps pattern matching, principal components, probits, constrained factor optimization and fuzzy logicSignificant involvement in client relationsMatlab User, VBA for Excel programmer Show more Show less



Ibersecurities SVB, Grupo Banco Sabadell

• Head of Strategy and Quantitative Research

  • Aug 2000 - Aug 2006

  Head of Strategy and Quantitative Research (Mar 2003-July 2006)Model building for institutional client advisory (sell side), including fundamental and financial forecasting and fixed income–equity asset allocationTop down equity index valuation and fundamental modelsEquity Analyst (July 2000-Mar 2003)Bottom up coverage of Spanish equity sectors at the company level (Gas, Hotels and Leisure, Logistics, Tobacco). Significant involvement with internal and external clients



Serfiex

• Spain
• Investment Banking

• Consultant and Quantitative Analyst

  • Nov 1998 - Mar 2000

  Zero-coupon rates real time estimation and pricing of all Euro Government debt issuesFixed income structured products valuation and consultingMiscellaneous Quant Tasks: portfolio optimization programs (semivariance), montecarlo simulation & VaR module supervision for risk management software.



Analistas Financieros Internacionales

• Analysis Department: Markets Analyst

  • Aug 1998 - Nov 1998

  Zero coupon curve estimation by the Nelson-Siegel methodBonds and swaps function development in Excel VBAMarkets analysis



Beta Capital MeesPierson

• Financial Services
• 1 - 100 Employee

• Quantitative Analyst

  • Nov 1995 - Jun 1996

  Quantitative Methods Department Trainee Portfolio optimization design integrating CAPM and the Black Litterman FilterMiscellaneous quant tasks: P/E modeling, data filtering & quadratic interpolation functions