Toby Carrodus
Quantitative Research & Trading
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About Toby Carrodus
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: "The Psychological Underpinnings of Why Systematic Trading is Superior to Discretionary Trading." 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
