Management Manager
Resume:
Xiaodong Xu Ph.D., CFA
718-***-**** (cell)
201-***-**** (home)
*******@*****.***
Secaucus, NJ 07094
SUMMARY OF QUALIFICATIONS
Ph.D. in Financial Engineering from Northwestern University with Master
degrees in Management Sciences and Computer Sciences; five year work
experience with Deutsche Bank Asset Management; thorough knowledge and
hands-on experiences in quantitative equity, asset allocation, portfolio
optimization, and risk management; solid education background in Asset
Pricing, Statistics, Optimization, Simulation; strong technical skills in
MATLAB, SAS, SQL; team worker, hard working, and good communication skills;
published ten papers on peer reviewed journals; winner of Harold W. Kuhn
Best Paper Award from INFORMS; US permanent resident.
WORK EXPERIENCE
Deutsche Bank Asset Management, Vice President, New York, NY, June 2005 to
Present
Quantitative Equity
. Conducted dynamic factor weighting research by leveraging macro and
fundamental information; built bottom up multi-factor quantitative
stock selection models including value, growth, and technical
factors; extracted qualitative alpha from peer mutual fund holdings
by analyzing other funds holding positions, recent trades, active
shares, and tracking error using MorningStar data.
. Designed proprietary risk models for multi asset class portfolios
using Exponentially Weighted Moving Average methodology, calibrated
half-life parameters for volatilities and correlations separately;
evaluated Barra equity risk model and improved its forecasting
accuracy by leveraging VIX information.
. Developed equity portfolio construction and backtesting platforms
which integrated AXIOMA optimizer, Barra risk model, and
transaction cost models; calibrated risk aversion and transaction
cost coefficients to maximize risk and tcost adjusted expected
alpha; conducted backtesting analyses to evaluate the performance
of various stock selection and signal weighting strategies.
. Analyzed the effects of constraints on implied alpha for active
equity portfolio investment and measured the impact of individual
constraint on value added (AXIOMA and BARRA have adopted the
methodology we published on Journal of Portfolio Management).
. Developed passive diversification based country/sector selection
strategy by identifying risk pairs through clustering analysis.
. Combined fundamental sector selection views with quantitative stock
selection alphas for international market neutral fund.
Asset Allocation
. Designed and implemented a proprietary strategic asset allocation
and manager selection platform, PortfolioChoice II; applied
multifactor asset pricing model to separate alpha and beta;
developed a flexible portfolio selection system to address client
specific constraints and various investment objective, e.g., mean
variance, minimize expected shortfall, maximize probability of out
performance, minimize VAR.
. Constructed an asset liability management framework for
institutional clients utilizing the core satellite, alpha overlay,
and liability relative investment technologies.
. Provided asset allocation analysis for internal and external
clients, conducted manager selection consulting services for John
Hancock life style funds (AUM 42 Billion $) and asset allocation
recommendation for Deutsch Bank pension fund (AUM 8 billion $).
. Participated in the development of Constant Proportional Portfolio
Insurance (CPPI) strategies.
ThunderBay Capital Management, Summer Intern, New York, NY, Summer 2003
. Implemented a dynamic trading algorithm minimizing large block
trading costs by applying dynamic programming technology.
Deutsche Bank Asset Management, Summer Intern, New York, NY, Summer 2002
. Developed portfolio and asset/liability management strategies using
Cplex optimization package.
Huawei Technologies Company, Software Engineer, Beijing and Shenzhen, Jan.
2000 - Aug.2000
. Implemented the IP security protocol for G-bit security gateway and
integrated IPSEC into TCP/IP stacks of operating system.
Xiaodong Xu
EDUCATION
Northwestern University, Evanston, IL
Ph.D. in Financial Engineering, June 2005
Dissertation Title: Equity Valuation, Integrated Financial and Investment
Decisions.
M.S. in Management Sciences, June 2001
University of Sciences and Technology of China, Beijing/Hefei, China
M.E. in Computer Sciences, June 2000
B.A. in Economics, June 1997
B.E. in Electrical Engineering, June 1997
SELECTED PUBLICATIONS
. Bernd Scherer, Xiaodong Xu. "Incentives and Dynamic Tracking Error
Choice." Handbook Fund Management, Oxford Series in Computational
Finance, forthcoming 2010.
. Xiaodong Xu, John Birge, "Operational Decisions, Capital Structure,
and Managerial Compensation," Engineering Economist, Vol. 53, 173-196,
2008.
. Xiaodong Xu, Bernd Scherer. "Performance Based Fees and Risk Shifting
with Knockout Barrier." Journal of Investment Management. Vol.5,
Number 3, 87 - 104, 2007.
. Bernd Scherer, Xiaodong Xu. "The Impact of Constraints on Value
Added." Journal of Portfolio Management. Vol. 33 Number 3, 45 - 54,
2007.
. Colm O-Cinneide, Bernd Scherer, Xiaodong Xu. "Pooling Trades in a
Quantitative Investment Process." Journal of Portfolio Management.
Vol. 32 Number 4, 33 - 43, 2006.
. Xiaodong Xu, John Birge. "Equity Valuation, Investment, and Financial
Planning: A Stochastic Programming Approach." Naval Research
Logistics. Vol. 53: 641-655, 2006.
SKILLS & OTHERS
. Strong analytical background in Asset Pricing, Statistics, and
Optimization
. Proficient in Matlab, SAS, Splus, and SQL, C/C++, Java
. Familiar with BARRA risk models, AXIOMA optimizer, MarketQA,
DataStream, Bloomberg
. Native Chinese speaker
. US Permanent Resident
AWARDS AND HONORS
. Harold W. Kuhn Best Paper Award, Naval Research Logistics, Institute
of Operations Research and Management Science, Washington DC, 2008
. Second Prize, INFORMS Financial Service Section Best Student Paper
Competition, Denver, CO, 2004
. Walter P. Murphy Fellowship, Northwestern University, Evanston, IL,
2000-2001
. Academia Sinica Elite Fellowship, Chinese Academy of Science, Beijing,
China, 1998-1999
. Distinguished Graduate of University of Science and Technology of
China, Hefei, China, 1997
. Outstanding Graduate of Anhui Province, China, 1997
MEMBERSHIPS
. CFA institute
. American Financial Association
. Society of Quantitative Analysts
. Institute of Operations Research and Management Sciences
Contact this candidate