Consulting - Past Engagements - Corepoint Partners

Consulting – Selected Engagements

G7 bond and linear rates relative value analytics (U.S. hedge fund)

Developed in-house risk and analytic systems for relative value monitoring and trading in G7 sovereign debt and their futures versus linear rates products (C#, VB.Net, Python)

Algo-based trading platform (international broker-dealer)

Provided analytics and design advice for the launch of an online futures trading platform

Inflation market tracker (U.S. hedge fund)

Developed and delivered a real-time analytics system for monitoring US/EuroZone/UK/JP inflation bonds (VBA)
Built proprietary models for forecasting and hedging headline CPI with energy futures

Long/short fund-level tax elections (U.S. hedge fund)

Advised client on fund-level tax elections to mitigate costly straddle-rule tax character mismatch in cash versus futures basis trading

Strategic asset allocation, risk and portfolio management (U.S. endowment fund)

Formulated and developed a strategic smart beta investment framework to access a diverse set of risk factors across equities, fixed income and currencies. Resulted in increased risk-adjusted returns and lower management fees
Performed a comparative study of candidate portfolio construction methodologies used in risk budgeting
Reviewed and optimized the SAA and risk budgeting mandates

After-tax factor-based portfolio construction (international asset manager)

Designed a portfolio construction framework for after-tax factor-based equity investing
Advanced a portfolio construction model that determines allocations at the tax lot level to maximize after-tax risk-adjusted performance

Detection and monitoring of shareholder activism (investment bank)

Advised on data-driven approaches to detect, measure and monitor shareholder activism
Levered standard and customized risk models, machine readable news and market data