Quantitative Portfolio Management and Trading

Vincent Wing Cheong, Ko

************@*****.*** Mobile: +852 - 6080 9913

EDUCATION

Sep. 2008 - Jan. 2012, The University of Hong Kong

First Class in Actuarial Science

Finance and Statistical Skills: Alpha Research, Multi-Factor Modeling, Index Arbitrage, Statistical Arbitrage, Volatility Arbitrage, Derivatives Trading, Market Microstructure, Time Series Analysis and Modeling

Advanced Programming Skills: R, Matlab, Python, Java, C#, Sql, Vba, Excel WORK EXPERIENCE

Apr. 2016 - Now – Research Analyst, FTSE Russell

Researched and built benchmarks for Asia Pacific asset owners, including Japan GPIF, Australia ASFA, Hong Kong Hospital Authority and etc

Created smart beta passive solutions for asset management firms and exchange-traded funds, including factors and optimized portfolios in China A, Taiwan and Japan

Co-worked with investment banks to develop quantitative indices for structural product trading Aug. 2014 - Mar. 2016 – Quantitative Portfolio Assistant, Safe Investment Company Limited

Assisted in running multi-billion quantitative portfolios, include models update, MSCI benchmarks maintenance and portfolios rebalance

Performed alpha research including factors effectiveness, stability, correlation, cycle and return predictability

Enhanced in-house risk model through Barra framework to monitor risk contribution Mar. 2013 - Apr.2014 – Quantitative Analyst, The Aria Group Ltd.

Researched on long term CTA trend strategies, short term spreads reversal and high frequency futures momentum

Created and Maintained a database, storing global equity and future prices from tick to daily basis

Built a backtesting framework to facilitate different strategies development, like data connection, result analysis, strategy testing, parameters optimization and live trades checking

Co-developed a live trading platform to automate trading strategies AWARDS & ACHIEVEMENT

Mar - Dec. 2009/10

HKU Exchange Scholarship, University of Hong Kong Nov - June. 2008/9

HKU Foundation Entrance Scholarship, University of Hong Kong Jan - June. 2007/8

Sir Edward Youde Memorial Prize, Sir Edward Youde Memorial Fund Council PERSONAL

Language: Cantonese (native), English (fluent), Mandarin (native)

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