Yiwen Zhu

Teaching Assistant to Professor Fabio Savoldelli for his Hedge Funds class in the Executive MBA program. Lectures are focused on investment idea generation, fund operations, and high level hedge fund strategy investment styles, as organized under HFR's broad categories (Equity Hedge, Macro, Relative Value, Event Driven). - Prepare and organize lectures, grade papers, create assignments - Liaise with guest speakers for on-site/virtual lectures - Organize on-site fund visits - Review and provide feedback on investment pitches

Founding Partner of a female owned and led quant equity market neutral hedge fund. Responsible for: - research and development of systematic single stock strategy - research and development of proprietary options hedging strategy, utilizing both index and single stock options - building the research and portfolio management infrastructure ground up in Python - developing the day to day operational workflow, utilizing AWS ecosystem, including S3/Sql, EC2, and Docker to manage multi-thread and job dependencies between different checkpoints from data collection to model and trade generation - Created marketing and branding materials for all client interactions, including fact sheets, in-depth marketing decks, and summary decks for quick pitches

Portfolio Management - Led day to day portfolio management of over $75bn in assets under management (AUM) of tax advantaged and smart beta equity strategies, with AUM in mutual funds and over 8,000 separately managed accounts - Responsible for research and portfolio management of over $4bn in alternative risk premium strategies, with AUM across mutual funds and separate accounts - Team lead in the development of research strategies into live funds: - Launched two sub-advised accounts ($18mn initial investment) and a restructure of a $370mn mutual fund in April 2015, current total AUM $1bn USD - Launched two factor based alternative investment style mutual funds in the US and Europe in 2016, current AUM $3.0bn USD - Coordinated effort between global IT/PM/Operations teams when designing operational workflow and scenario testing - Collaborated with sales and distribution teams on generating marketing content for investment products Research - Conducted quantitative research and analysis on multi-asset class portfolios, with large focus on variable annuity products and risk-based investment objectives, examples: - Risk parity and other risk budgeting strategies - Options overlay strategies to mitigate impact of down-market events on equity investments/enhancing income generation, including a novel strike selection methodology for a $1bn put spread collar mandate - Low volatility/intrinsic value analysis for global equities - Developed an investment simulation and modeling framework in Matlab to provide asset allocations and scenario testing tools - Code library included risk models, asset allocation methods, and performance summary statistics - Used as the primary research tool for clients’ investment strategy development from 2013 to 2017 - Developed cost analysis model in R for fully funded vs. levered investment instruments for delta one exposures

Quantitative Investment Strategies - Portfolio Management and Research

Quantitative Investment Strategies - Portfolio Management and Research

Coursework covered: - Probability & Statistics - Regression Analysis - Bayesian Inference

Quantitative Investment Strategies: Portfolio Management & Research

Summa cum laude, graduating with highest distinction in the Statistics Department and high distinction in Economics