Summary
Overview
Work History
Education
Skills
Data Science Projects
Timeline
Generic

KASEY NG

Pleasanton,CA

Summary

Seasoned portfolio manager with 10+ years of experience in asset management, specializing in quantitative research and data-driven investment strategies. Proven track record of delivering consistent alpha through advanced portfolio construction techniques and risk management methodologies. Adept at managing multi-million dollar portfolios and leading teams in developing algorithmic models that optimize performance across asset classes. Strong expertise in statistical analysis, financial modeling, and leveraging technology for competitive advantage.

Overview

14
14
years of professional experience

Work History

Lead Portfolio Researcher

BlackRock
08.2017 - Current
  • Lead quantitative research initiatives on $400B multi-asset portfolios and solutions, with areas of focus on asset class research, portfolio construction, and lifetime allocation
  • Redesigned franchise-wide fixed income allocation by constructing rate and credit capital market assumptions and applying the Black-Litterman asset allocation framework to achieve optimal results
  • Developed a ML-based market regime model that incorporated style factors, market, and economics features
  • The model increased IR by 0.3 over a baseline model, along with 75% accuracy in predicting future equity drawdown
  • Established a long-term currency management approach for investors with diverse currency bases
  • Tailored investment solutions for large institutional clients ($1b+)
  • Provided advice on lifetime allocations, asset class choices, alpha/beta trade-off, and liability management
  • Maintain proprietary models and overall research platform in Matlab, Python and SQL that powered franchise’s research and PM efforts
  • Managed internal and external stakeholders to get research across the finish line
  • Stakeholders included senior investors, sales, risk entities, and institutional clients.

Portfolio Engineer

BlackRock
01.2011 - 01.2017
  • Managed daily cash flow and rebalance for over 400 defined contribution funds
  • Regularly conducted t-cost and implementation shortfall analysis
  • Built Monte-Carlo simulation models that determined the best portfolio management practices, ranging from rebalancing policy, cash management, and large-trade execution strategy
  • Established data pipeline that automates data ingestion for investment models and analysis.

Education

Master of Information and Data Science -

University of California, Berkeley
05.2018

Bachelor of Arts: Economics -

University of California, Berkeley
05.2010

Skills

  • Technical skills
  • Time series and cross-sectional analysis
  • Portfolio construction/optimization
  • Statistics and econometrics
  • Machine learning
  • Feature engineering
  • Data mining
  • Debugging
  • Scripting languages
  • Python
  • Matlab
  • R
  • Data tools
  • SQL
  • Big data processing
  • Spark
  • Hadoop
  • Version control
  • Git
  • Subversion

Data Science Projects

  • Forecast Company Profitability with ISS Data, BlackRock, Identified features on board effectiveness, proxy voting, and executive pay using ISS datasets. The signal had an IR of 1.1 and had shown positive correlation with sales and ROE.
  • Predict Stock Market Using Text Analytics, UC Berkeley, Achieved over 50% accuracy on predicting stock movements relative to the index using random forest classifier. Performed NLP on 8-k filings between 2001-2012 across S&P 500 companies.
  • Detect Russian Bots on Twitter, UC Berkeley, Conducted EDA to understand Twitter users’ activities and Tweet patterns. Predicted the likelihood of a bot account using xgb model. Built neural nets to classify whether a Tweet is from a Russian bot.

Timeline

Lead Portfolio Researcher

BlackRock
08.2017 - Current

Portfolio Engineer

BlackRock
01.2011 - 01.2017

Bachelor of Arts: Economics -

University of California, Berkeley

Master of Information and Data Science -

University of California, Berkeley

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KASEY NG