Toby Carrodus
Medium Frequency Systematic Global Macro Quant
Professional Status
Employed
Available
About Me
Toby Carrodus is a quantitative finance professional focused on medium-frequency systematic global macro trading. He uses statistical methods and automated algorithms to systematically trade bonds, commodities, currencies and equity indices across Europe, Asia and North America.
His educational background includes a Master of Science in Economics from the Humboldt-Universität zu Berlin, where he specialised in quantitative methods and corporate finance, and a Bachelor of Economics and Bachelor of Arts in German & Political Science from The Australian National University.
His educational background includes a Master of Science in Economics from the Humboldt-Universität zu Berlin, where he specialised in quantitative methods and corporate finance, and a Bachelor of Economics and Bachelor of Arts in German & Political Science from The Australian National University.
Quantitative Researcher & Trader
PROPRIETARY TRADING
Since 2018
- Designing, researching & overseeing medium-frequency (intraday) systematic global macro trading strategies covering currencies, commodities, bonds & equity indices
- Project management of trading strategies from an exploratory data & hypothesis phase through to formal presentation of results & real-time implementation
- Sourcing & cleaning data; analyzing large datasets with Python
- Monitoring slippage & adjusting transaction cost models; conducting attributions
- Collaboration with developers to implement research into live production systems
- Building general research infrastructure
Investment Associate
WINTON CAPITAL
2016
to 2018
- Product specialist for systematic global macro futures and event-driven strategies; requires detailed knowledge of strategies to provide explanations to family offices, pension boards, sovereign wealth funds and fund of fund allocators
- Regular presentations of investment strategies at industry conferences and events throughout APAC; collaborating with investors to create tailored investment solutions
Assistant Portfolio Manager
MACRO STRATEGIC TRADING (MST CAPITAL)
2014
to 2016
- MST (Macro Strategic Trading) was a macro hedge fund with an APAC bias that traded across asset classes (rates, credit, commodities, FX and equities) and instruments (cash, swaps, futures, forwards and options)
- I provided direct support to the CIO to manage a global macro portfolio with discretion to manage investments positions; execution across asset classes and instruments; hedging and funding non-USD instruments; rolling daily FX balances; trade booking
- Macroeconomic research for the Investment Committee; designed and implemented position sizing techniques for PM’s to achieve portfolio target volatility
- Research, evaluation and implementation of systematic trading strategies using Python with a focus on liquid futures markets
Portfolio Management Associate & Account Management Associate
PIMCO
2012
to 2014
- Collaborating with Portfolio Managers on all aspects of managing investment grade credit and high yield bond portfolios (US$34.4bn), including monitoring and adjusting interest rate duration, curve positioning, spread duration, FX exposure, leverage and cash; use of VBA to automate regular tasks
- Maintaining target carry exposure from futures roll yield, cash yield curve roll-down, FX carry and theta; modelling risk impacts of trades and ensuring pre-compliance (incl. cash bonds, IRS, CDS, futures, FX)
- Building dynamic templates with SQL, Excel/VBA, Bloomberg and proprietary software; reporting on risk metrics, portfolio positioning and attributions
- Providing market commentary and assistance to Account Managers to prepare for client meetings; responding to market and client driven ad-hoc requests
Master dissertation on “Estimation & Evaluation of Risk in Artificially-Smoothed Asset Returns of Illiquid Assets via the Getmansky et. al. Method”
Scholarship: Friedrich-Naumann Stiftung für die Freiheit (2009 – 2011)
Bursary to participate at the International Summer School in Economics, Havana, Cuba
Courses included: Econometrics, Time Series Analysis, Panel Data, Quantitative Methods
Scholarship: Friedrich-Naumann Stiftung für die Freiheit (2009 – 2011)
Bursary to participate at the International Summer School in Economics, Havana, Cuba
Courses included: Econometrics, Time Series Analysis, Panel Data, Quantitative Methods
Bachelor of Economics & Bachelor of Arts (Pol. Sci. & German)
AUSTRALIAN NATIONAL UNIVERSITY
2005
to 2009
Scholarship: ANU/UniSA Economics Summer Resarch Scholarship to conduct research on regulation of state utilities
Scholarship: Baden-Württemberg Stipendium for an exchange year at the Albert-Ludwigs Universität, Freiburg, Germany (2007 – 2008)
Goethegesellschaft Prize for outstanding achievements in advanced German, Canberra (2007)
Invited for Honours in Applied Economics, Canberra (2009)
Scholarship: Baden-Württemberg Stipendium for an exchange year at the Albert-Ludwigs Universität, Freiburg, Germany (2007 – 2008)
Goethegesellschaft Prize for outstanding achievements in advanced German, Canberra (2007)
Invited for Honours in Applied Economics, Canberra (2009)
