2017 – 2020
From 2017 to 2020, I collaborated with QCAM Currency Asset Management as a cooperation partner, focusing on the quantitative research, development, and implementation of new currency overlay asset management products.
1. Currency Overlay Strategy Design
Developed systematic currency overlay strategies using quantitative models that incorporated both fundamental and technical indicators.
Applied factor-based frameworks that integrated carry, momentum, and value signals to capture excess returns in currency markets.
Used rolling window regressions and Kalman filter approaches to dynamically estimate time-varying hedge ratios.
2. Signal Construction and Forecasting
Constructed short- and medium-term momentum signals using time-series analysis (e.g. ARIMA models, moving averages, and trend-following indicators) to capture directional opportunities.
Integrated macroeconomic variables (e.g. interest rate differentials, purchasing power parity) into mean-reversion signals to identify over- and undervalued currencies.
Applied cointegration techniques to detect long-term equilibrium relationships between currency pairs, supporting relative value trades.
3. Risk Management Integration
Developed dynamic position-sizing models based on rolling volatility and conditional Value-at-Risk (CVaR) to manage tail risks and drawdowns.
Conducted scenario analysis using historical stress periods (e.g. 2008 crisis, 2011 eurozone crisis) to validate model robustness under different market conditions.
Integrated liquidity filters to adjust position sizes and execution strategies during low-liquidity periods.
4. Backtesting and Performance Evaluation
Implemented rigorous backtesting frameworks using historical spot and forward rate data, accounting for transaction costs and slippage.
Used walk-forward testing and rolling performance metrics (Sharpe ratio, maximum drawdown) to ensure out-of-sample robustness.
Evaluated strategy performance across different market regimes to validate consistency and stability.
5. Portfolio Construction and Optimization
Integrated currency overlay signals into multi-asset portfolio optimization frameworks.
Applied mean-variance and risk-parity approaches to balance currency risk against underlying asset exposures.
Modeled currency correlation matrices and stress-tested portfolio sensitivity to exchange rate shocks.
Worked closely with QCAM’s quantitative research team to ensure models met operational and regulatory requirements.
Contributed to integrating the models into QCAM’s investment platforms, ensuring consistency with compliance frameworks and risk management standards.
Delivered quantitative currency overlay strategies that enhanced portfolio diversification and reduced currency risk.
Developed dynamic risk management frameworks that improved drawdown control and performance stability.
Contributed to the design of new currency overlay products that offered clients systematic, rules-based exposure to currency markets.
My work with QCAM Currency Asset Management focused on designing and implementing systematic currency overlay strategies using traditional quantitative models. Through rigorous backtesting, risk management integration, and collaboration with the QCAM research team, I contributed to the development of innovative currency asset management products that improved portfolio efficiency and risk control.