Since September 2016
Since September 2016, I have served as a strategic partner to Quoniam Asset Management, focusing on traditional quantitative research and systematic investment strategies. My primary contributions center on developing and implementing multi-asset and cross-asset momentum and trend-following models, with a strong emphasis on robust statistical validation and risk management.
1. Multi-Asset Momentum and Trend-Following Frameworks
Designed quantitative frameworks to capture medium- to long-term momentum and trend signals across global equities, government bonds, commodities, and currencies.
Applied time-series analysis techniques such as exponential moving averages (EMAs), simple moving averages (SMAs), and rolling regression models to estimate trend strength and persistence.
Developed price-based filters (e.g. breakout models, Bollinger bands) to identify entry and exit points in systematic trend strategies.
2. Cross-Asset Signal Integration
Constructed standardized momentum indicators (e.g. relative strength, rate of change) to compare momentum signals across asset classes on a normalized scale.
Applied Z-score normalization and cross-sectional ranking to integrate signals into a unified cross-asset allocation model.
Developed allocation rules that dynamically rebalanced positions based on relative momentum rankings and volatility-adjusted weights.
3. Statistical Validation and Robustness Testing
Conducted out-of-sample backtesting using rolling and expanding windows to test the stability and predictive power of momentum signals.
Employed bootstrap resampling techniques to assess parameter stability and model robustness across different market regimes.
Analyzed autocorrelation structures and drawdown profiles to ensure risk management and diversification benefits.
4. Risk Management Integration
Implemented dynamic position sizing using risk-budgeting frameworks based on rolling volatility estimates and Value-at-Risk (VaR) constraints.
Applied correlation analysis and principal component decomposition to manage cross-asset exposures and avoid concentration risk.
Developed portfolio-level drawdown controls using historical stress scenarios and tail risk measures (e.g. Conditional Value-at-Risk).
Worked closely with Quoniam’s quantitative research team to align the models with the firm’s systematic investment process and regulatory requirements.
Contributed to the integration of trend-following signals into production systems, ensuring consistency with operational risk controls and compliance guidelines.
Enhanced portfolio diversification and performance through systematic incorporation of multi-asset and cross-asset trend signals.
Delivered quantitative models that consistently identified momentum persistence and improved risk-adjusted returns.
Developed scenario analysis and stress-testing frameworks to evaluate model performance under varying market conditions.
In my collaboration with Quoniam Asset Management, I focus on the design, implementation, and validation of traditional quantitative multi-asset and cross-asset momentum and trend-following strategies. My work emphasizes robust statistical techniques, risk management integration, and seamless operational implementation to support the firm’s systematic investment process.