Data Sales

XINYUAN NAN

Atlanta, Georgia • 404-***-**** • **********@*****.***

EXPERIENCE

Decatur Capital Management Atlanta, GA

Quantitative Research Analyst January 2016 - present

• Worked closely with portfolio managers to develop dynamically weighted multifactor stock selection models and proprietary systematic trading strategies for US and international markets, and successfully launched the developed ex US market equity fund in October 2017

• Performed statistical analysis to evaluate different investment strategies, and improved alpha performance consistency and reduced volatility by using diversified tactical signals and new portfolio optimization methods

• Implemented machine learning techniques (LASSO, Elastic Net, Random Forest and Branch boosting) to identify key drivers behind portfolio performance, and combined with academic asset pricing models to develop investment ideas

• Researched and evaluated different ESG vendors, and developed ESG enhanced strategies by using ESG information as tactical signals and weighting component. The performance of paper portfolio beat its benchmark by 56 bps annually

• Developed proprietary back-test optimizer by Python, and data collection and storage process by SQL

• Automated portfolio reporting process to monitor daily portfolio risk exposure and performance

• Created and maintained global factor heat-maps to follow market trends Citigroup New York City, NY

Sales, Trading and Quant Analyst (Credit Portfolio Strategy) June-August 2015

• Developed a credit-based trading strategy using the probability of default, recovery value, and duration; back-tested the strategy from 1995 and analyzed the sources of profit and loss

• Built regression models for calculating risk premium and embedded leverage in the CDS market; performed daily CDS relative value analysis and published a report for the trading desk

• Analyzed client trade flows and internal composite inventory, producing recommendations for traders

• Created an Excel template to forecast directional change in credit risk premium by one-year predicted default rates

• Used SQL to handle data from firm’s database and created Macros to automate the process of data cleaning EDUCATION

Georgia Institute of Technology Atlanta, GA

Master of Science in Quantitative and Computational Finance December 2015

• GPA: 3.75/4.0

• Coursework: Financial Computing, Financial Data Analysis, Derivative Securities, Fixed Income Nankai University Tianjin, China

Bachelor of Economics in Financial Engineering June 2013

• GPA: 3.8/4.0

• Awarded academic scholarship to attend the University of Minho (Braga, Portugal; 2012-2013) PROJECTS

Optimal Investment Portfolio for Personal Investors (Python, R) 2015

• Selected 30 stocks with highest Sharpe ratios from S&P500 index constituents and applied PCA to build risk factor models

• Narrowed down the portfolio to 9 stocks based on BIC, AIC test, and PCA to satisfy personal investors’ requirement Derivative Pricing and Trading Strategies (C++) 2015

• Priced options using Monte Carlo simulation, Black-Scholes method, and Heston model

• Created a zero-investment delta neutral dynamic hedging portfolio for derivative securities

• Tested the delta hedging strategy and the gamma scalping strategy using various market signals Risk Management (SAS) 2014

• Built a hazard model for credit risk valuation using companies’ historic data to rank default likelihood; tested a list of covariates mattering firm’s default prediction by conducting in-sample estimation and out-of-sample forecasting

• Computed companies’ probability of default and distance to default using the KMV model with over 30 million rows data SKILLS

Programming: Python, R, SQL, C++, Matlab, Excel, VBA, SAS Certification: Passed CFA Level 3 exam in 2016

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