Join Date
March 2023
Country
Gender
Male
Age
Not Specified
About Toby Carrodus
Toby Carrodus has worked for some of the largest and most elite hedge funds and asset managers in the world, such as PIMCO and Winton Capital. He has spent the last few years working on higher-frequency, intraday systematic trading strategies as well as privately investing in businesses.
Toby Carrodus also offers a university scholarship to students from low socioeconomic backgrounds, the Toby Carrodus Scholarship. Further information at https://www.tobycarrodusscholarship.com.au/
Companies & Work
Independent Writing
• Toby Carrodus: "An Elementary Introduction to Risk Parity." Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4250812
• Toby Carrodus: "Trading and the Limits of Reason." Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4190925
• Toby Carrodus: "It’s Time To Review Our Central Banks." Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4209973
Prop Firm
• Designing, researching and overseeing medium-frequency (intraday) systematic trading strategies covering currencies, commodities, bonds and equity indices
• Project management of trading strategies from an exploratory data and hypothesis phase through to formal presentation of results and real-time implementation
• Sourcing and cleaning data; analyzing large datasets with Python
• Monitoring slippage and adjusting transaction cost models; conducting attributions
• Collaboration with developers to implement research into live production systems
• Building general research infrastructure
Winton Capital
• Systematic Global Macro
• One of the world's top hedge funds judged by size (USD +30bn) and 20yr+ track record, Winton utilizes scientific methods to identify persistent edges in markets that are systematically exploited to generate sound risk-adjusted returns.
MST Capital
• MST Capital was a Global Macro hedge fund with an APAC bias. It ceased operations in 2016
• Direct support to CIO to manage a global macro portfolio; discretion to manage CIO positions; execution across equities, indices, rates, FX and commodities using cash, futures, options and swaps
• Researching systematic trading strategies; compiling, cleaning, scrutinizing and analysing data; developing systematic strategies in Python
• Quantitative and fundamental macroeconomic research for the Investment Committee and trade decisions; building dynamic templates to monitor quantitative, technical and fundamental information; designed and implemented position sizing techniques to target portfolio volatility
• Hedging and funding non-USD instruments; PnL hedging; rolling daily FX balances; trade booking and checking; trading and risk system maintenance (FrontArena, TradingScreen, Bloomberg EMSX)
PIMCO
PORTFOLIO MANAGEMENT
• Covering global investment grade credit and high yield portfolios in excess of US$34.4bn
• Collaborating with Portfolio Managers on all aspects of managing accounts, including monitoring and adjusting interest rate duration, curve positioning, spread duration, FX exposure, leverage and cash
• Modelling risk impacts of trades (incl. cash bonds, IRS, CDS, futures, FX); ensuring portfolios maintain target risk exposures; monthly rebalancing
• Sourcing, cleaning, scrutinizing and analyzing data from internal and external data providers for use in investment decisions
• Formulating allocation algorithms to distribute new bond issues and relative value switches; coordinating global handover of trading programs outside of the EMEA time zone
ACCOUNT MANAGEMENT
• Regular client and internal reporting on portfolio positioning, risk metrics, performance attribution; building dynamic templates with proprietary software, Excel, VBA, SQL and Bloomberg
• Responding to market, policy and client driven ad-hoc requests e.g., benchmark modelling, modelling portfolios with/without FX risk, ESG
• Member of PIMCO technology cabinet and trainer for an internal proprietary risk application
Education
Humboldt-Universität zu Berlin
• SCHOLARSHIP: Friedrich-Naumann Stiftung für die Freiheit
• Courses included: Econometrics, Time Series Analysis, Panel Data, Quantitative Methods
• Master's dissertation: Estimation and Evaluation of Risk in Artificially-Smoothed Asset Returns of Illiquid Assets via the Getmansky Method
• International Summer School in Economics & Management Science in Havana, Cuba
Australian National University
Awards:
• SCHOLARSHIP: Baden-Wuerttemberg Stipendium for an exchange year in Freiburg, Germany
• SCHOLARSHIP: A.N.U./Uni.S.A. Summer Research Scholarship
• Invited for Honours in Economics
Australian National University
Awards:
• Goethe Society Prize for Outstanding Achievements in Advanced Level German
• Swiss Embassy Prize for Best Essay
