Portfolio Manager at Guosheng Securities

• Jul 2020 - Present

Portfolio Manager

• Jun 2015 - Jul 2020

◆Responsible for Alpha strategy platform, managed the relevant strategy portfolio, the real CSI 300 enhanced portfolio information ratio 3.1, tracking error constraint 3.5%, listed in the first 1/5 of the public CSI300 enhanced funds in 2018, CSI500 simulated portfolio information ratio 4.3, annual excess return 19%, ◆Recruitment, guidance junior factor researcher strategy development work, including factor mining, factor timing, strategy optimization, evaluation factor contribution, complete the Department alpha factor library total 600 +, core library 120, including fundamental low-frequency factors and technical high-frequency factors ◆Independently developed a linear and a machine learning multi-factor model, real market tracking for 2 years, CSI300 average monthly IC 13%, the real operation has been good so far. ◆Holding industry rotation strategy research, effectively recommending the industries with the highest quarterly return, incorporating to the multi-factor system, the average annual excess return increased by more than 2%. ◆Proficient in BARRA Aegis, Axioma optimization tool, optimizes portfolio using MVO and Risk Parity framework, find the best information ratio strategies with low correlation ◆Using Barra APA as the blueprint for the performance attribution. Dividing performance attribution to industry selection, factor selection, stock selection level, alpha model of 2017 get industry return 2.74%, factor return 1.12%, stock selection return 7.87%, which is less depending on style factors ◆Develop a dividend-rate-based strategy to judge stock-bond rotation, with an average annual return of 16% over the past years. Promote the stock-bond rotation asset allocation model to relevant institutions ◆Guide the selection of Smart Beta index and optimize the design of Smart Beta index ◆Design futures hedging strategies, realized absolute gains of about 6% of total accounts during 2016, where the index futures is over the highest discount Show less

Quantitative Trader

• Jun 2012 - Jun 2015

◆Design, evaluate and optimize high-frequency trading strategies across treasury bonds, gold. Mining data pattern, implementation strategies with Sharp higher than 10 ◆Participate in development of CTA platform, improve multi-cycle, multi-variety, low-correlation combination system, AUM more than 1 billion, annual average return of more than 20%. ◆ Build matlab high frequency strategies back-testing platform, apply genetic algorithm in rolling test of optimal parameters, enhance the efficiency by distributed computing ◆ Design ETF high-frequency arbitrage strategy. profitable in 95% trading day in a month(real market), Sharpe ratio>8. Lowering stock quote latency to 5ms. ◆ Compare, analyze exotic options, convertible bond, preferred stock provisions. Design preferred stock provisions for two Hong-Kong list companies，Evaluate option by Monte Carlo Method Show less