DAVID GUY, Ph.D.
152 Rockafellows Mill Road
Flemington, NJ 08822
Home [Send email to request phone number] 37-5107 Cell (917) 941-5890
Fax [Send email to request phone number] 84-0356 [Send email using form at bottom]
Summary of Qualifications
- Over 18 years experience in research and development of alpha generation and
risk models in quantitative trading operations
- An expert in the application of statistical models and algorithms to
financial data in the low, medium and high frequency domains.
- Experienced in modeling macro-econometric univariate and multivariate time
series in the time and frequency domains.
- A specialist in building and managing teams that oversee large assets under
management ($10 billion AUM) for institutional clients, mutual funds and hedge
fund portfolios.
- Product development and management included US equity in long and market
neutral strategies.
Professional Experience
May 2008 – Current Financial Advisor
Families Investment Fund
Sep. 2008 – Dec.2009 Adjunct Professor
Delaware Valley College
Doylestown, PA 18901
Oct. 2003 – May 2008 Chief Investment Officer
New York Capital Advisors, LLC
Bohemia, NY 11716
NYCA is a quantitative based asset management company aimed at the
institutional market and high net worth individuals. NYCA offers long only
products and long/short market neutral strategies in the low, medium and high
frequency domains. Long products design for the institutional clients
concentrated on index tracking, benchmark relative performance and index
construction and replication. Responsibilities include:
1) Development of the investment process - design of stock evaluation models,
implementation of risk management models, portfolio construction, return and risk
attribution, connectivity to trading platform, process monitoring and strategy
back test.
2) Supervision of IT specialists in the execution and automation of the data
bases and computer algorithms.
3) Establishing back office operations support.
4) Planning and executing disaster recovery and business continuity plans.
5) Supporting the marketing effort - meetings and due diligence with
prospective clients.
6) Human Resources – forming compensation and benefits packages.
Jan. 2000 – Sep. 2003 Partner, Managing Director, Co-Head Discipline Investment
Group
J&W Seligman & Co. Inc.,
New York, NY 10017
Co-Portfolio Manager: Tri- Continental, Common Stock and the Income Mutual
Funds.
Co-Portfolio Manager: Large-Cap Value Institutional Product
Co-Portfolio Manager: Tax Sensitive Fund
For a total of $2.5 Billion in assets under management.
- Responsible for the introduction and construction of a quantitative based
portfolio management team.
- Managed eight professionals in the fields of computer science, statistics and
finance as part of a broad-based R&D and portfolio management platform.
- Directed investment strategy development through extensive quantitative-driven
alpha models, back test methodology, risk managed portfolio construction,
enterprise return and risk attribution and efficient execution of trading
programs.
- Powered the introduction and usage of the intranet for the J&W Seligman
investment team, which included many of the proprietary quantitative tools
developed by the Discipline Investment Team.
Nov. 1997 - Dec. 1999 Quantitative Portfolio Manager
Systematic Investment Team, Mid-Cap Manager
Nicholas Applegate Capital Management
San Diego, CA 92101
- Successfully developed and implemented a mid-cap alpha and portfolio
construction product for the institutional market.
- Managed $0.5 billion in assets under four mid-cap mandates: Russell Mid-Cap
Growth, Russell Mid- Cap, S&P500 Mid-Cap Growth and S&P500 Mid- Cap.
- Participated in numerous client meetings and conferences with the
institutional sales department.
- Offered quarterly return/risk performance and attribution reports to clients
and sales department.
- Spearheaded the research and development effort for the Systematic Investment
Team through the introduction of cutting edge statistical and mathematical
optimization techniques.
Jan. 1997 - Apr. 1997 Visiting Assistant Professor
University of California, Riverside
Department of Statistics
- Taught a course in Bayesian dynamic time series models to graduate statistics
and economics students.
- Conducted research in the fields of Value at Risk (VaR), Program and Pairs
Trading, Downside Risk in Asset Allocation.
Nov. 1992 - Dec. 1996 Vice President
Equity Portfolio Analysis, Derivatives
Research Group
Salomon Brothers, Inc.
New York, N.Y. 10048
- Pioneered the development and implementation of Bayesian dynamic multivariate
volatility-correlation models in proprietary and client problem solving.
- Primary applications included: derivatives strategies, volatility and
correlation forecasting, option pricing, strategic and tactical asset allocation,
portfolio optimization, index replication and tracking, dynamic risk management
models, value at risk (VaR), stock market clustering and liquidity models.
- Introduced advanced graphical exploratory data analysis (EDA) methodology into
the development of derivatives strategies.
- An active member of a team responsible for the publication of the Global
Derivatives Review and its introduction to clients and the sales force.
Education and Certifications
Ph.D. Applied Statistics, 1992
University of California, Riverside
Concentration: Nonlinear Time Series Analysis, Bayesian Statistics
Ph.D. Operations Research, (ABD), 1987-1988
University of Texas, Austin
Concentration: Mixed Quadratic-Integer Optimization
M.Sc. Mathematics & Statistics, 1986
Queen’s University at Kingston, Ontario, Canada
Concentration: Time Series Analysis, Econometrics
M.A. Economics, 1985
Queen’s University at Kingston, Ontario, Canada
Concentration: Econometrics, Money and Banking
B.A. (Honors), 1983
McGill University, Montreal, Quebec, Canada
Concentration: Macroeconomics, Money and Banking, Econometrics
Series 7, Series 63
Technical Skills
Programming Expertise in:
- Statistical Software: R, Splus, SAS, LINDO, FORTRAN, IMSL
- Data Base Management: SQL
- MS Office Suite (Excel, Word, PowerPoint)
- Market Data Systems: Bloomberg, Factset, Northfield, BARRA,
ITG Optimization engine
- Trading and Back Office Systems: Landmark, RealTick, Oasis,
Checkfree APL
Keywords: Managing Director, Senior, Team Leader, Quantitative, Monte Carlo
Simulation, Bayesian, Statistician, Econometrician, Portfolio Manager, Risk
Manager, Equity, Strategic, Tactical, Asset Allocation, Low Medium High
Frequency
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