Resume

Education

Ph.D. (Finance), McGill University, Montreal, Canada.
M.Sc. (Statistics), McGill University, Montreal, Canada.
B.Sc. (Applied Mathematics), Concordia University, Montreal, Canada.

Scholarships, Grants, and Awards

1. Foundation for Managed Derivatives Research (FMDR), Washington, DC: US$15,000 scholarship.
2. Montreal Institute of Financial Mathematics (IFM2), Montreal, QC: C$60,000 scholarship.
3. Center for Research in E-Finance (CREF), Montreal, QC: C$5,000 scholarship.
4. Dean’s Honor List, M.Sc. (Statistics), McGill University, Montreal, QC.
5. Do Certain Macroeconomic Variables and Market Indexes Move Hedge Fund Classes? A Cointegration Approach? with R. Auger and G.N. Gregoriou.  Best Doctoral Student Paper Award (Finance), Administrative Sciences Association of Canada Conference (ASAC), London, ON.

Current Working Papers

1. Competing Risks in Hedge Fund Lifetimes, Revise and Resubmit, Journal of Financial and Quantitative Analysis.
2. Efficiency Persistence of Bank and Thrift CEOs Using Data Envelopment Anaysis, Revise and Resubmit, Computers and Operations Research, with G.N. Gregoriou and Y. Chen.
3. Survival of Strategic, Market Defensive, Diversified and Conservative Funds of Hedge Funds: 1994-2005 Using Data Envelopment Anaysis, Accepted for Publication, Journal of Derivatives and Hedge Funds, with G.N. Gregoriou and M. Kooli.
4. Fees and Incentives Among Commodity Trading Advisors, with S. Christoffersen.
5. The Dependence of Operational Risk Losses on Macroeconomic Conditions, with S. Christoffersen and R. Garcia.
6. The LEV Option Pricing Model, with R. Elkamhi.

Refereed Publications

1. Funds of Funds Versus Simple Portfolios of Hedge Funds: A Comparative Study of Persistence in Performance .  Journal of Derivatives and Hedge Funds, 2007, 13(2):88-106, with G.N. Gregoriou, G. Hübner, and N. Papageorgiou.
2. Survival of Commodity Trading Advisors: 1990-2003.  Journal of Futures Markets, 2005, 25(8):795-816, with G.N. Gregoriou, G. Hübner, and N. Papageorgiou.
3. Simple and Cross Efficiency of CTAs Using Data Envelopment Analysis.  European Journal of Finance, 2005, 11(2): 54-70, with F. Diz, G.N. Gregoriou, and S.E. Satchell.
4. Performance of the Largest CTAs in Negative S&P500 Months and Extreme Market Events.  Journal of Wealth Management, 2004, 7(1), 44-47, with G.N. Gregoriou.
5. The Global Hedge Fund Graveyard. Journal of Derivatives Accounting, 2004, 1(2): 1-8, with M. Asgharian, F. Diz, and G.N. Gregoriou.
6. Random Walk Behavior of CTAs Returns.  Journal of Alternative Investments, 2003, 6(2): 51-56, with G.N. Gregoriou.
7. Selecting Funds of Hedge Funds: A Survey of the 20 Largest Funds.  Pensions, 2003, 8(3): 217-221, with G.N. Gregoriou.
8. Large versus Small Hedge Funds: Does Size Affect Performance?   Journal of Alternative Investments, 2003, 5(5): 75-77, with G.N. Gregoriou.
9. An Examination of CEO Compensation of US Banks and Thrifts Using Non-Traditional Performance Measures.  Journal of Financial Services Marketing, 2003, 7(3): 246-257, with G.N. Gregoriou.
10. Hedge Funds: The Steel Wave.  Pensions, 2003, 9(1): 22-33, with G.N. Gregoriou.
11. Last Year's Winning Hedge Funds as This Year's Selection: A Simple Trading Strategy.  Derivatives Use, Trading and Regulation, 2002, 7(3): 269-274, with G.N. Gregoriou.
12. Is Size a Factor in Hedge Fund Performance?  Derivatives, Use, Trading and Regulation , 2002:7(4), 301-305, with G.N. Gregoriou.
13. The Role of Hedge Funds in Pension Fund Portfolios: Buying Protection in Bear Markets.  Journal of Pensions Management, 2002:7(3), 237-245, with G.N. Gregoriou.
14. Do Hedge Fund Returns Follow Random Walks?  Derivatives Use, Trading and Regulation, 2002, 7(3): 241-250, with G.N. Gregoriou and K. Sedzro.
15. Pitfalls to Avoid When Constructing a Fund of Hedge Funds.  Derivatives Use, Trading & Regulation, 2002, 8(1): 59-65, with G.N. Gregoriou.
16. Market Timing and Security Selection of Hedge Funds.  Derivatives Use, Trading & Regulation, 2002:8(2): 140-158, with G.N. Gregoriou and K. Sedzro.
17. On the Market Timing of Hedge Fund Managers.  Journal of Wealth Management, 2002, 5(2): 54-58, with G.N. Gregoriou.
18. Nonstationarity Tests of Managed Futures.  Journal of Wealth Management, 2002, 5(2): 54-58, with G.N. Gregoriou.
19. Do Stock Market Indices Move the Ten Largest Hedge Funds?  A Cointegration Approach.  Journal of Alternative Investments, 2001 4(2):61-66, with G.N. Gregoriou.

Work Experience

      2007-present

      Vice President and Senior Quantitative Analysist

      Enterprise Risk Management

      State Street Corporation, MA

 

      2000-2002

      Faculty Lecturer and Consultant in Statistics

      Department of Mathematics and Statistics

      McGill University, Montreal, Canada

 

      1996-2000

      Biostatistician

      Centre for Clinical Epidemiology & Community Studies

      Jewish General Hospital, Montreal, Canada

 

      1989-1993

      Biostatistician

      Department of Community Health

      Montreal General Hospital, Montreal, Canada

Journal Referee

      Quantitative Finance
      Published by Taylor & Francis Group

Books

1. Option Pricing Models and Volatility Using VBA/Excel, New York, NY: John Wiley & Sons, with G. Vainberg.
2. Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, New York, NY: John Wiley & Sons, 2005, with G.N. Gregoriou, G. Hübner, and N. Papageorgiou (Eds.)
3. Commodity Trading Advisors: Risk, Performance Analysis and Selection, New York, NY: John Wiley & Sons, 2004, with G.N. Gregoriou, V.N. Karavas, and F.-S. Lhabitant (Eds.)
4. Performance Evaluation of Hedge Funds: A Quantitative Approach, Baltimore, MA: Beard Books, 2004, with G.N. Gregoriou and K. Sedzro.
5. Hedge Funds: Strategies, Risk Assessment and Returns, Baltimore, MA: Beard Books, 2004, with G.N. Gregoriou and V.N. Karavas (Eds.)

Book Chapters

1. Catching Future Stars Among CTAs, with G.N. Gregoriou, in: Fabozzi, F.J., Fuss, R., and D.J. Kaiser (ed.), The Handbook of Commodity Investing , London, UK: John Wiley & Sons, 2008.
2. Entries on Skewness, Kurtosis, Correlation, Coefficient of Determination, Survivorship Bias, and the VIX , in: Gregoriou, G.N. (ed.), Encyclopedia of Alternative Investments, London, UK: Taylor & Francis, 2008.
3. Simple Hedge Fund Strategies as an Alternative to Funds of Funds: Evidence From Large-Cap Funds, with G.N. Gregoriou, G. Hübner, and N. Papageorgiou, in: Gregoriou, G.N. (ed.), Funds of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Oxford, UK: Elsevier Press, 2006.
4. A Literature Review of Hedge Fund Performance, in: Gregoriou, G.N., Hübner, G., Papageorgiou, N. and F. Rouah (eds.), Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation.   New York, NY: John Wiley & Sons, 2005.
5. Predictability of Funds of Hedge Fund Returns Using Dynaporte, with G.N. Gregoriou, in: S. Satchell and J. Knight (eds.), Linear Factor Models in Finance, Butterworth & Heinemann: London, UK, 2005.
6. Performance Appraisal of Commodity Trading Advisors Using Data Envelopment Analysis, with F. Diz and G.N. Gregoriou, in: Gregoriou, G.N., Karavas, V.N., Lhabitant, F.-S., and F. Rouah (eds.), Commodity Trading Advisors: Performance, Risk Analysis and Selection, New York, NY: John Wiley & Sons, 2004.
7. Die Mortalitätsrate von Managed Futures-Fonds – Eine Empirische Analyse der Jahre 1990-2003, with G.N. Gregoriou, G Hübner, and N. Papageorgiou, in: M. Busack (ed.), Handbuch Alternative Investments, Berlin, Germany: Gabler Verlag, 2006.

Non-Refereed Publications

1. L'impact de la taille sur la performance des hedge funds,  Avantages, October 2001, with G.N. Gregoriou.
2. Gare aux traces!   Objectifs Conseiller, May 2002, with G.N. Gregoriou and G. Vita.
3. Enfin des hedge funds prudents, Objectifs Conseiller, April 2002, with G.N. Gregoriou.
4. Corrélation versus cointégration: David contre Goliath, Objectifs Conseiller, April 2002.

Conferences

1. Competing Risks in Hedge Fund Lifetimes.  Midwest Finance Association Meeting, March 22 to 25, 2006, Chicago, IL.
2. Competing Risks in Hedge Fund Lifetimes.  Northern Finance Association Meeting, September 30 to October 2, 2005, Vancouver, BC.
3. Dominating Fund of Funds with Simple Hedge Fund Strategies, with G.N. Gregoriou, G. Hübner, and N. Papageorgiou.  Northern Finance Association Meeting, September 30 to October 2, 2005, Vancouver, BC.
4. Survival and Mortality of Hedge Funds.  Fall 2005 Conference of the Chicago Quantitative Alliance, September 14-15, 2005, Chicago, IL.
5. Do Certain Macroeconomic Variables and Market Indexes Move Hedge Fund Classes?  A Cointegration Approach, with R. Auger and G.N. Gregoriou.  Administrative Sciences Association of Canada Conference (ASAC), May 2001, London ON (1st prize for best student paper).

Featured in the Press

1. Funds of Funds: Are They Worth the Fees?, by Christopher Faille, Lipper News Services, http://www.hedgeworld.com/, August 28, 2006.
2. How to Pick a Survivor, by Daniel P. Collins, Futures Magazine, June 2006.
3. Hedge Fund Report: Another Way to Play Verizon, by Emma Trincal, Staff Reporter, http://www.thestreet.com/, February 22, 2006.
4. Evaluating the Potential Longevity of Hedge Funds, Infovest21 News, April 26, 2006.
5. Previous Studies Overstated Attrition Rates, Says Academic, by Solomon Teague, Hedge Funds Review Magazine, April 27, 2006.

Seminars

1. Review of the Academic Literature on Hedge Funds.  Hedge Fund Panel Discussion, International Association of Financial Engineers, New York.  February 16, 2007.
2. Competing Risks in Hedge Fund Lifetimes.  McGill Finance Research Center, McGill University, Montreal.  December 8, 2006.
3. Competing Risks in Hedge Fund Lifetimes.  School of Business and Economics, State University of New York, Plattsburgh.  March 31, 2006.
4. Review of the Academic Literature on Hedge Funds.  Hedge Fund Panel Discussion, University of Chicago Graduate Business School Alumni Club of Greater New York.  October 30, 2006.
5. Competing Risks in Hedge Fund Lifetimes.  CISDM Centre, Isenberg School of Management, University of Massachusetts at Amherst.  November 18, 2005.
6. Les fonds de couverture: typologie des risques encourus.  Seminar on Alternative Investments, Celestar Capital Advisors, LLC, and IXIS Corporate & Investment Bank, Montreal, Canada.  June 22, 2005 (in French).

University Courses Taught

Institution	Term	Title	Instructor Rating (out of 5)	Dept. Average (out of 5)
McGill University	Fall 1999	Principles of Statistics I	4.3	3.8
McGill University	Winter 2000	Principles of Statistics II	4.7	3.6
McGill University	Fall 2000	Principles of Statistics I	4.3	3.7
McGill University	Winter 2001	Principles of Statistics II	4.1	3.8
McGill University	Winter 2002	Principles of Statistics II	4.1	3.8
McGill University	Summer 2002	Principles of Statistics I	4.1	4.1

Programming Languages and Databases

1. Statistical Analysis System (S.A.S.) : 10 years.
2. Matlab : 5 years.
3. V.B.A. : 3 years.
4. Excel, PowerPoint, Word : 10 years.
5. Other Statistical, Econometric, and Hedge Fund software : E-Views, Stata, Minitab, Per-Trac, Laporte Asset Allocation System, AlternativeSoft.
6. Experience with hedge fund and CTA databases (HFR, TASS, CISDM, Barclay Trading Group), options (OptionMetrics), equities (CRSP), and financial databases (Datastream).
7. Some experience with Bloomberg terminals.