My career is focused on researching and designing straightforward quantitative models that are consistent with the investment goals of the institution, whether that be a tax-sensitive insurance company with long-term holding horizons or a custodian bank with low cost trading infrastructure. I have experience with both low turnover and high turnover strategies and can find the optimal
My career is focused on researching and designing straightforward quantitative models that are consistent with the investment goals of the institution, whether that be a tax-sensitive insurance company with long-term holding horizons or a custodian bank with low cost trading infrastructure. I have experience with both low turnover and high turnover strategies and can find the optimal level of trading given the cost to trade in a particular market, the operational efficiency of the organization and the strength combined with aggressiveness of the alpha signals they wish to deploy. My belief is that quantitative equity investing goes far beyond the building and backtesting of a multifactor model. The experience I've developed across many facets of the investment profession including marketing, account management, trading and research provides me with a more complete and effective perspective towards managing assets.
My particular interests are in the areas of quantitative equity modeling, transaction cost management and designing effective trading strategies. I am experienced in Matlab programming and well-versed in Axioma, Factset, Bloomberg and Northfield software.
Investment Officer & Quantitative Portfolio Manager @ * Developed quantitative infrastructure for the Public Equities team, including an active quant stock selection process for Emerging Asia and Europe Small Cap, alternative weighting techniques, inputs to regional allocations and timing signals for the direction of the equity markets.
* Trader implementing majority of the firm's equity transactions, interfacing directly with broker-dealers, and analyzing transaction costs
* Lead portfolio manager of internal US Large-Cap, Mid-Cap and Emerging Asia and Europe Small Cap funds totaling nearly $2 billion in assets
* Clean record of trading and managing investment portfolios with no trading or operational errors while executing asset allocation changes, rebalancing active strategies and aligning holdings in index strategies with benchmark changes
* Evaluating external managers through due diligence and performance attribution using multiple regression against common risk factors and other quantitative methods
* Engaged in corporate M&A project to properly compare valuations of insurers across countries using Bayesian approach From 2012 to Present (3 years) Greater Boston AreaSr. Portfolio Manager & Quantitative Researcher @ • Conceptualized and engineered a quantitative model for a high turnover active equity strategy, predicated on shorter-term reversal signals and low cost trading infrastructure consistent with the core competency of State Street.
• Lead fund manager of a long-short U.S. market neutral seed strategy with 15% excess returns from inception in Oct 2010 to Jan 2012. “Smart-money” strategy based upon identifying top alpha mutual fund managers after controlling for risk, and their most-favored and least-favored holdings.
• Lead fund manager of Global Alpha, a developed markets quant strategy with clients in Europe, Middle East and Japan. Assets totaled $2 billion at its peak.
• Broad experience managing U.S., non-U.S. developed, emerging, small-cap and socially screened universes. Managed long-only institutional portfolios, long-short market neutral with leverage, and 130/30 extension strategies.
• Quantitative research into new growth factors, improving momentum factors and retooling portfolio construction techniques with existing product lines
• Clean record of managing investment portfolios with no operational errors From 2006 to 2012 (6 years) Associate @ • Collaborated with portfolio managers to manage the life-cycle transitions of institutional separate accounts, overseeing $2 billion under management and requiring familiarity of client investment policies
• Developed key relationship with our largest advisor intermediary with $7 billion invested in BlackRock mutual funds, participating in client meetings and acting as information conduit
• Constructed marketing presentations for prospects and successfully managed the new account set-up process for institutional portfolios with an aggregate market value of $66 million From 2003 to 2005 (2 years)
MBA, Analytic Finance, Statistics & Econometrics @ The University of Chicago - Booth School of Business From 2005 to 2007 BS, Chemistry @ Haverford College Thanh Tran, CFA is skilled in: Equities, Portfolio Management, Asset Management, Financial Modeling, Investments, Mutual Funds, Trading, Financial Risk, Investment Management, Due Diligence, Asset Allocation, Valuation, Bloomberg, Quantitative Research, Client Liaison, Strategy, Finance, Transaction Cost Analysis & Optimization, Quantitative Finance
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