David Kuenzi

Led the build out of a Macro Risk Advisory department, with the objective of increasing Macro PM Sharpe ratios through the creation of innovative analytics and ongoing PM interactions. Worked with portfolio managers in the US, UK, and Asia on issues related to portfolio construction, portfolio hedging, risk-taking / risk allocation, and the drivers of positive / negative alpha. Personally coded these extensive analytics in a Python environment and performed deeper research around crowding, Kelly betting, event-related performance, turnover, etc. This also included cross-sectional and time series statistical / machine learning analysis across PMs and PM strategies to be leveraged in PM discussions as well as potential use in the alpha capture process.

Lead portfolio manager, producing a combination of macro insights, quantitative strategies, and improved portfolio structure. Oversaw fund team researching advanced strategies, managing complex aspects of the investment management process, and producing detailed, multi-dimensional reporting. Built a quantitative and machine-learning-driven approach that led to the creation and launch of new, advanced investment models (strategies) across equities, commodities, rates, and FX, and focused on structural and flow imbalances (including crowding), alternative curve / carry, event anomalies, and ESG strategies. Served as thought leader around advanced investment theories for internal, client, and broader investment community use. Published recently in The Journal of Portfolio Management & The Journal of Alternative Investments.

Recruited to build the risk management function and innovative, proprietary tools and systems to facilitate a more data-driven approach to investing. Built the firm’s first quantitative trading platform and alternative risk premia capability with a top-down global macro overlay. Led a team of quantitative researchers, risk managers and traders that assessed equities, rates, credit, FX, and commodities using both quantitative and qualitative methods to identify the best opportunities across global markets. Member of the Partner Group, Investment Committee, Management Committee, Investment Risk Management Committee, and IT Steering Committee.

Recruited to improve portfolio management and risk / return profile by building an innovative quantitative research team and infrastructure along with a risk management function. Introduced a quantamental culture along with a risk management approach that guided portfolio decision-making. Managed and traded a seed portfolio related to the build-out of a proprietary multi-factor platform; this multi-asset class portfolio traded futures, options, ETFs, FX forwards, FX options and CDX. Member of the Man Group CEO-chaired Risk Assurance Committee.

Recruited within to help diversify the firm’s offerings, improve investment techniques and risk management, and develop new, technologically-forward investment processes. Developed portfolio construction approaches to facilitate more targeted alpha generation, more informed risk-taking, and better performance measurement within multiple investment teams. Created new ETF products and collaborated to build a new fixed income mutual fund, representing a broadening of Nuveen’s offerings. Blended quantitative and discretionary approaches to design and launch new products.

Performed in depth industry analysis, stock screens, bottom-up analysis, and interviews with company management and made related trade recommendations. Wrote up results and tracked positions (company news, earnings releases, etc.), allowing for effective trading of these positions. Served as back-up trader in the small-cap equity market.