DIRECTOR, NORTH AMERICA HEAD, CITI MULTI-ASSET GROUP, CITI INVESTMENT STRATEGIES
Highly motivated finance professional with more than 13 years of experience in leading quantitative research teams and in designing systematic investment portfolios and macro indicators.
Areas of Expertise
Style/risk premia investing
Regime based investing
Director, North America Head, Citi Multi-Asset Group, Citi Investment Strategies02/2014 － CurrentCitigroup Global MarketsNew York, NY
CIS creates and offers indices for investment based on rules-based strategies such as systematic tactical asset allocation as well as long-term risk premia including value, carry, momentum, quality, and volatility. Client notional exposure exceeds $3 billion.
Responsible for the launch of new cross-asset risk premia portfolio by working with four separate asset class teams that had previously rarely interacted.
Led the development of regime-based investing methodology that identifies different growth, inflation, volatility, and real yield environments and then allocates to assets and risk premia according to these regimes.
charge of publishing ad-hoc white papers and thought leadership pieces offering
insights on risk premia strategies, quantitative asset allocation, portfolio
construction and risk management
Director, Global Head, CitiFX Quant09/2006 － 02/2014Citigroup Global MarketsNew York, NY
CitiFX Quant advises real money and hedge fund clients on currency risk management, publishes macroeconomic indicators such as the Citi Economic Surprise Index, seeks returns in FX markets by applying quantitative frameworks, and creates indices for investment based on systematic strategies. Client notional exposure to strategies exceeded $4 billion. CitiFX Quant was ranked #1 in Quantitative Research in the Euromoney
annual FX survey, the most comprehensive annual study on the FX market,
for 3 years in a row.
Responsible for the quantitative FX research,
development and management of FX investment products, quantitative tools and
indicators. The team won the awards for Best Bank for
Quantitative Research, Flow Research and Research and Analytical Tools in the
last three Euromoney FX Surveys.
Manage client funds and Citigroup's proprietary
of products include passive beta and active alpha indices in FX, customized
investment and hedging solutions, overlays.
Lead and manage investment related dialogue with
existing and potential clients. Conduct
regular performance reviews. Market
the quant solutions globally to a wide range of clients, including pension
funds, sovereign wealth funds asset managers, corporations
Hands on involvement with modeling. Created
the majority of the quantitative FX trading models. Designed
the dynamic asset allocation and risk targeting process that was used for nearly all client portfolios
indices which are indicators of market conditions that can be used as inputs in
investment and hedging decisions. The
well known and widely followed quantitative indicators developed by the team
include Macro Risk Indices, Economic Surprise Indices, Positioning and Flow Indices,
Early Warning Signal, Commodity Terms of Trade Indices, G10 Scorecard.
publication of white papers and analysis on quantitative features of the FX markets
Quantitative Analyst01/2005 － 05/2006Cooperneff AdvisorsKing of Prussia, PA
Research and implement quantitative equity market strategies using bottom-up stock selection with comprehensive coverage of factors and dynamic factor selection.
Senior Quantitative Analyst01/2003 － 01/2005KOCH CAPITAL MARKETSHouston, TX
Manage team of quantitative analysts in the research and development of trading strategies in FX
Build a risk index to capture shifts in investor risk appetite
Build an index of leading indicators to signal the turning points in the US business cycle and to predict GDP
Model forward curves for power prices. Create mathematical models for power and gas volatility.
2001Ph.D.:Texas A&M University - MathematicsCollege Station, Texas, USAGPA: GPA: 4.00/4.00 Excellence in Teaching Award
1995Bachelor of Science:Bogazici University - MathematicsIstanbul, TurkeyGPA: GPA: 3:22/4.00Coursework in Economics
Chair of Citi's Financial Engineering Committee, a working group under Citi's
Index Governance Committee, overseeing all activities related to the
development, maintenance, calculation, licensing and publication of indices
across different assets
Series 24, Series 7 and Series 63 Licenses
Contributor to various industry publications and books (for example, a chapter in “Handbook of Exchange
Rates”, by Wiley and a chapter in “The Role of Currency in Institutional
Portfolios”, by Risk Books)