Manager Management

CURRICULUM VITAE

David Romain Djoumbissie

**** ****** ******* ********, *** 411, Montréal (Québec), H3G1C1

Tel: + 514-***-****/ + 514-***-****

Courriel: acg9gv@r.postjobfree.com

LANGUAGE: French (Mother tongue); English (functional).

EMPLOYMENT OBJECTIVE

Job where it is possible to combine key drivers such as Business Cycle, Financial Condition, Risk aversion, Valuation, Market

regime, in a quantitative macroeconomic framework for the following :

Development of Tactical Asset/ Risk Premia allocation and Active Risk Management;

Development of Systematic Active Strategies for Alpha in a Long-Short portfolio (Commodity, Equity, Currency, Bond)

Portfolio Construction, Diversification and Optimization, Scenarios Analysis and Stress Testing;

HIGHLIGHTS OF QUALIFICATIONS

Over nine years of extensive experience in generating robust returns through a consistent quantitative investment

framework in constant volatile market and economic environments;

Multidisciplinary skills ( Economics, Financial markets, Statistics, Mathematics and Computer Science) ;

Passion for Financial Markets, excellent knowledge on interaction between market price and its main drivers;

Autonomy, effective team spirit, good interpersonal and communication skills;

EDUCATION

Certificate in Advanced Risk and Portfolio Management, Symmys, New York, 2013

Master in Financial Engineering, HEC Montréal, 2008

Master in Economics, Université de Montréal, 2005, (Excellence Scholarship);

Bachelor in Statistics and Applied Economic, ISSEA, Cameroon, 2000, (Excellence Scholarship);

Bachelor in Mathematics and Computer Sciences, Université de Yaoundé, Cameroon, 1998

WORK EXPERIENCES

PSP INVESTMENT, Canadian Public sector Pension Fund (more than $80 B AUM)

2011-present Quantitative Associate Portfolio Manager, Global Fundamental Alpha Fund

My responsibilities include research, development, backtesting and deployment of an investment framework for a tactical

allocation and alpha strategy in a GTAA fund (equity, commodity, currency and bond). My achievements include the following:

Business Cycle and Market Regime:

Design and implementation of global and country leading indicators of business cycle, global Risk Aversion indicator, Market

regime and financial markets stability indicators, using Filtering methods, Cluster analysis and non -linear model;

Active Beta Strategies:

Tactical Allocation on a portfolio of 15 global Risk Premia or Smart Beta

Design and implementation of a monthly rebalancing portfolio of 15 global Risk Premia (Growth: World equity, Copper, High Yield;

Inflation: Reit, Tips, Crude; Save Haven: US $, Treasury Bond US; Style: Currency Carry; Currency Value; Commodity Carry; Credit vs Treasury Bond US, Equity

Emergent vs Developed; Equity Value vs Growth; Equity Small Cap vs Large) with a robust Combination of (Business Cycle, Financial Condition,

Fundamental and Relative Valuation, Risk aversion and Market regime) and different Models (Wavelet, Cluster Analysis, PCA,

Logit and VECM model);

Portfolio Construction and Fat Tail Hedge

Implementation of a quantitative framework for analyse source of risk/return, identify exposure to a set of global Risk

Factors(growth, Inflation, Liquidity, Carry/Fat tail), do the stress testing and optimization under criteria such as diversification,

Risk Contribution, Risk Parity.

Alpha Strategies:

Commodities : Sharpe ratio more than 2 on eleven years Backtest

Design and implementation of a Systematic weekly rebalancing diversify long/short neutral-sector portfolio (Grain, Soft, Energy,

Live, Precious and Industrial Metals) in a market regime framework with robust combination of(Term structure of Price, Convenience

Yield, Volatilities, Inventories, Flow) and Models such as Filtering methods, Cluster Analysis, PCA and non-linear models;

Equities (In Progress): A quantitative fundamental framework (Country Business Cycle, Fundamental and Relative

Valuation, Behavioral) for a long-short Portfolio on 20 most liquid Country,10 US Sectors and US Equities;

Currencies (In Progress): A quantitative fundamental framework (Carry, Country Business Cycle, Fundamental and

Relative Valuation, Behavioral) for a long-short Portfolio on 20 most liquid Currencies.

CIBC Global Asset Management ($60 B AUM), Canadian Imperial Bank of Commerce

2006-2011 Quantitative Analyst, Actives Strategies for Enhanced and GTAA Fund

As a quantitative analyst, I was in charge of building quantitative strategies and of making trade recommendations for four

funds (Enhanced US Equity, Enhanced Emergent Equity, Enhanced Commodity and GTAA), the Objective being a

benchmark + 50 until 200 bps. My achievements include the following:

Active Strategies: A quantitative fundamental model (including Business Cycle, Valuation, Implied volatility surface,

trend-Mean Reversion) to analyze and characterize the risk-return profile (Equities, Commodities and Currency) for

active strategies in Enhanced Fund (Overweight or Underweight vs benchmark, Buy and Sell Options);

Covered Call Options: A quantitative fundamental model to identify Market Regime, to rank US Sectors, US Equities

and 23 Commodities and to write Covered Call Options;

Active Risk Management: A quantitative fundamental framework to analyse, evaluate, and optimize portfolio based on

indicators of Market regime, risk aversion and indicators of concentration of global risk factors .

Center for Interuniversity Research and Analysis on Organizations (CIRANO)

2004-2006 Research Analyst, Finance Department, CIRANO, Montreal

As an Assistant Researcher at the CIRANO, I researched and analysed various issues. My achievements include the following:

Conception and implementation of a platform integrating data on losses and manager’s judgement for modeling the

operational losses within a financial institution;

Estimation, simulation and calibration of Markov switching models, Copulas, Diffusion process and Bayesian inference

with applications such as Market Risk, Pricing of options and Swaps, interest rates and inflation.

Other Work Experiences

2000-2002 Analyst, National Institute of Statistics, Cameroon

I was part of a team in charge of: (i) conducting applied studies on numerous economic issues; (ii) building and updating the

Consumer Price index and National Accounts; (iii) the Quarterly business cycle survey and several household surveys. Also

as a member of this team, I implemented a Database on ACCESS for the foreign trade.

March-June 2000 Intern, CEC-PROM MATURE (Microfinance Institution), Cameroon

As an intern at CEC-PROM MATURE, a Cameroon-based Microfinance institution, I was in charge of \assessing the Risk-

Return profile of Clients and the ability of that institution to be an alternative loan provider for small businesses with limited

access in formal financial markets.

COMPUTER SKILLS

Matlab, C, Gauss, Spss, Stata, Eviews, Access, SQL, Blomberg, Datastream, W indows and MS Office.

Selected Analytical works

Tactical asset allocation: Manage diversification through risks premia in a dynamic quantitative framework integrating

the global Economic cycle, Risk aversion, Valuation, Liquidity and Market regime.

Active commodity management: Noise and temporary return or a real source of consistent return and portfolio

diversification?

Active currency management: Noise and temporary return or a real source of consistent return and portfolio

diversification?

Alpha on equity market : a hidden beta or a real source of consistent and diversified return and result of the manager

skills;

Operational risk in financial institutions: modeling and evaluati on of the aggregate loss in a framework integrating

quantitative and qualitative approach;

Microfinance Institutions: An Alternative to the development of Small and medium businesses.

REFERENCES

Available upon request.

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