Elly (Xiao) Li

Address: **** ********** ****, *** ***, Chapel Hill, NC 27517

Location Preference: North Carolina and flexible!

Email: adchny@r.postjobfree.com Tel: 510-***-**** EDUCATION

The University of California, Berkeley - Haas School of Business, Berkeley, CA March 2020 Master of Financial Engineering, GPA: 3.7

Relevant Coursework: Linear Regression Modelling, Time-Series Analysis, Probability & Statistics, Option Pricing, Stochastic Calculus, Deep Learning, Dynamic Asset Allocation & Portfolio Optimization National University of Singapore, Singapore Aug. 2011 – Jun. 2015 B.S. (Honors) Statistics

EXPERIENCE

Axioma San Francisco

Portfolio Construction Specialist Intern Nov. 2019 – Jan.2020

§ Tested factor crowding effect by calculating pairwise correlations of top/bottom Russell 3000 stocks for fundamental factors including value, growth, momentum, liquidity, size and volatility

§ Computed bias statistics to evaluate robustness and accuracy of Axioma’s risk model in terms of predicting future risk

§ Facilitated clients to achieve optimal portfolio construction with risk constraints using Axioma’s optimization tools

§ Assisted clients in risk decomposition, performance attribution and backtesting using Axioma’s multi-factor models suite Bloomberg L.P. Singapore

Equity Analyst, Earning Estimates team, Global Data Department Apr. 2016 – Jan.2019

§ Forecasted earnings for South East Asian stocks/indices based on macroeconomic analysis, companies’ historical fundamentals and quantitative analysis

§ Published research reports on stocks and sector performances of ASEAN economies on a monthly basis

§ Implemented in Python an automated outlier identification algorithm, which improved the efficiency by 30%; approached the same problem using Machine Learning techniques like kernel density estimation

§ Managed forecasting models by monitoring earnings releases, analyzing fundamental and estimates datasets of companies listed in South East Asia, Australia & India Synpulse Management Consulting Singapore

Associate Consultant May. 2015 – Feb. 2016

§ Engaged in a Business Process Outsourcing (BPO) project for a leading European Private Bank to spin off its entire back- office operations in Singapore & Hong Kong

§ Collected and analyzed user requirements for Private Banking clients to digitalize the current business models and build up a cutting-edge e-banking platform

PROJECTS & SKILLS

An Empirical Study on Systematic Factor Portfolio Nov. 2019 – Mar. 2020

§ Constructed a Barra-type linear factor model using factors - market, momentum, value, size, volatility and profitability

§ Adopted Partial Least Squares method on 5 sentiment proxies to construct a sentiment index to forecast factor returns

§ Conducted mean-variance portfolio optimization and backtesting for the strategy; the resultant portfolio generated an average return of 9.2% and a Sharpe ratio of 1.03, with respect to 7.8% and 0.85 for the benchmark out-of-sample

§ Conducted performance and risk attribution analysis by calculating ex post portfolio exposures and sector performance Optimizing Procurement/Hedging Solutions for a Leading Palm Oil Consumer Jul. 2019 – Mar. 2020

§ Conducted various time series analyses, including cointegration test, PCA analysis, ARIMA modelling, lead-lag analysis and linear regressions to forecast palm oil futures price Extreme Price Movement Study in Capital Markets Jul. 2019 – Oct. 2020

§ Conducted bid-ask spread analysis and linear regression to evaluate extreme price movements for cryptocurrency Skills: Python, SQL, C++ and R; CFA Level I; Bloomberg Terminal Languages: Native Speaker in Mandarin and Fluent in English EXTRA-CURRICULAR ACTIVITIES

Interests: part-time professional makeup artist; running, traveling, volunteering in the community

Contact this candidate