Phorgy Phynance

About Me

with 8 comments

I developed a passion for asset management during my years at Capital Group as a member of the Capital Strategy Research team, where I was immersed in the investment decision making process spanning equity and fixed-income mutual funds as well as institutional clients including sovereign wealth funds. Being a “quant” in the investment group of such a large traditional asset management firm provided me with a unique perspective that I cherish to this day.

Taking the invaluable experience gained at Capital Group, I threw myself deeply into the world of quantitative asset management. I was the lead quantitative researcher of an investment team at The TCW Group managing an absolute return fund of funds that dynamically hedged the “beta” from a portfolio of long-only equity and fixed-income funds via index swaps and futures. While there, I developed a complete suite of sophisticated quantitative portfolio management tools including asset allocation, risk management, and performance measurement applications which directly contributed to investment results being firmly in the top quartile.

More recently, I moved to Hong Kong where I helped establish Harvest Global Investments, which is an asset management firm owned by Harvest Fund Management – one of the largest asset managers in China based in Beijing. While there, I built proprietary performance and risk systems and set up third-party platforms (FactSet, MSCI Barra, Risk  Metrics). I also established all governance pertaining to market risk, credit/counterparty risk, and performance measurement.

My most recent adventure has been a significant, but pleasing, change. Currently, I am Regional Manager of Market and Investment Risk at ING Insurance Asia/Pacific overseeing eight business units across seven countries.

Prior to moving into finance, I was a professional scientist at MIT Lincoln Laboratory where I developed large-scale numerical models of complex electromagnetic systems. I completed my doctorate at the Center for Computational Electromagnetics at the University of Illinois at Urbana-Champaign.

Updated September 2012.

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Written by Eric

July 10, 2007 at 1:08 pm

8 Responses

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  1. I saw on the phorum that you’re in L.A. and sometimes get together with other members for drinks. Let me know the next time you do so, I’d love to join.

    chiquant

    August 10, 2007 at 11:26 am

  2. Hi Eric! 🙂

    Let’s try to understand Kantization together. Send me an email please!

    😀

    Daniel de França MTd2

    June 17, 2009 at 5:35 am

  3. Hello,

    Since the Towards a Computer-aided system for real mathematics has become cumbersome, I decided to send you a link to un bueno paper. If you don’t like it I’ll buy coffee next time you are in Santa Cruz.

    philosophy.ucdavis.edu/landry/2CategoryTheoryTheLanguage.pdf
    CATEGORY THEORY: THE LANGUAGE OF MATHEMATICS by Elaine Landry

    Stephen Harris

    September 21, 2009 at 5:58 pm

  4. Eric,

    I don’t have a email address for you, unfortunately. If you drop me a note at topological.musings@gmail.com, I’ll respond with a brief remark on Kantization, which you brought up today at the Cafe.

    Todd

    Todd Trimble

    October 23, 2009 at 2:08 pm

  5. Hi Eric; I’m actually very interested in working out the details of the “Spring in Imaginary Time” analogy in detail. If you’ll send me an email, I’ll send you what I’ve got.

    Mike Stay

    August 8, 2010 at 10:40 am

  6. Hi,

    I am doing some research on leveraged ETFs for HKUST/NYU Stern and looking for people who did or are working on similar issues.
    Comparing discrepancy in price between NAV and secondary market. Firms price the NAV value on a real time basis. They gather the proper values to calculate NAV and run it real-time( those values are located in an IOPV file). Then they design a program to arb the product. Program trading, high frequency trading are more or less the same thing when it comes to index arb trading.

    Andreas Cseh

    November 6, 2010 at 1:29 am

  7. Hi M. Phorgy
    do you know about this guy “prof Magid Maatalah”? You should be interested in the words on the cover of the book : https://www.morebooks.de/store/fr/book/stochastic-financial-models/isbn/978-3-8454-1054-8
    (you’re not the only one…)
    Best

    Antonin Chambolle

    May 30, 2013 at 8:53 pm

    • Thank you for pointing this out. This person has completely and blatantly plagiarized my work. I will see if I can have his publication revoked and he be reprimanded. That is completely unacceptable. He didn’t even try to change the words.

      Eric

      May 30, 2013 at 9:22 pm


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