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Matteo Castagna

Portfolio and data analytics and reporting, risk & investment management, operations.

Work experience

Head of Investment Analytics and Reporting

2017 Dec -
Mediolanum International Funds Limited (Dublin)

Head of a team of analysts covering portfolio and data analytics for all products managed by Mediolanum Irish Operations (currently 70 funds, additional insurance products for a total of ~€50bn of assets under management).

Enhanced team contribution and visibility from basic information up to understanding and knowledge. Imposed focus on scripted language and golden sources of data away from MS Office tools. 

  • Devised and delivered the entire reporting framework used by PMs, Management and Board covering returns analysis, performance and portfolio analytics for individual products and cross-sectionally. All the relevant reporting runs automatically. All the dataset and information produced are pro-actively used to highlight specific use cases and deep dives as needed/requested.
  • ESG analysis implemented as part of the reporting on a looked-through basis and association to ultimate name to expand coverage. ESG records are discussed with PMs offering intelligence on score drivers and ESG-ranked performance within peer-groups.
  • Devised and delivered looked-through holdings for all the target funds MIO invests in as part of the FoF structures and insurance products (~300 ISINs covered over ~70 asset managers). 
  • Extensive use of open source software, optimized data retrival/storage/management offering maximum efficiency minimizing cost.
  • Provided ad-hoc notes on specific product/market situations (performance and risk attribution, both total return and factor based) adding value to that reporting framework.
  • As manager of the team, I mentored all the rotating interns and the permanent members of staff.

Head of Portfolio Analytics

20152017 Dec
Fidelity International - Multi Asset (London)

Head of the team of analysts providing intelligence on existing portfolios, advisory accounts and portfolios building blocks (including both active and passive investments). Covered the different disciplines both on ex-ante and ex-post basis alongside tests and sanity checks. Delivered regular reports and ad-hoc notes.

Key stakeholders: FIL Global Business Operations (direct report to COO), portfolio managers/CIO, investment directors/distribution, FIL Investment Management Risk.

New technologies/systems have been implemented following an agile process. Delivered on the requirement of providing the best possible information about how the money is managed. This was deployed for both internal and external consumption thanks to the adoption of advanced enterprise data management and use of innovative visualisations enhancing the quality and appeal of the broad reporting suite.

  • Portfolio analysis: covered exposure/concentration, sensitivity, ex-ante risk (expected volatility/VaR, scenario analysis), ex-post performance (returns and attribution/contribution), peer group analysis, liquidity metrics.
  • Risk management: risk analysis at portfolio level and, crucially, exploring contribution/attribution focusing on factor models; close relationship with the internal risk management functions covering regulatory requirements.
  • Team management: promoted personal growth and acquisition of new skills for the team members. Automation of recurrent jobs and focus on value-added analysis.
  • Personal development: up to date with industry developments and research; constantly explored new ways of doing things. Attended relevant seminars and wrote notes about risk and investment management in the context of the current market situation.
  • Relationships: built a network of contacts within the company making sure the team was aware of the various developments and priorities. Kept regular dialogue with the stakeholders adapting the information provided following their requirements.

Principal: Head of Market Risk and Performance

20092015
Old Mutual Asset Managers/Old Mutual Global Investors (London)

Principal – Head of Investment Risk and Performance. Leading a team of four responsible for market risks, performance reporting and analysis for multi/single asset OICS, offshore UCITS, NURS and Hedge funds, covering a wide range of portfolio management styles and strategies including Long Only, Market Neutral, Macro, Quantitative modeling, Statistical Arbitrage and CTA.

Key role in shaping new products’ investment guidelines (helped creating the GEAR fund which went on reaching multi-billion size from small seed capital); provided information packages presented at board meetings, due diligence processes, RFPs and sales meetings.

  • Devised and implemented in house investment risk framework delivering measures for VaR, exposure and concentration, sensitivities, stress testing alongside the relevant set of sanity checks. Devised and implemented analysis of risk adjusted returns.
  • Devised and implemented (with CBI approval) metrics and portfolio analysis for multi-asset market liquidity risk.
  • Devised and implemented the counterparty risk data collection, reporting and analysis.
  • Developed reports for return analysis (attribution and contribution) and peer performance analysis based on Morningstar/Factset.
  • Developed the framework for validation of back-tested returns analysis, assisting portfolio managers pre-launch.
  • Wrote frequent analysis of market news and comments sourcing information from investment banks letters and a wide array of financial blogs.
  • Maintained close contacts with all the PMs providing them with informal updates about fund performance and risk allocation.
  • Delivered the relevant information and updates to comply with regulatory requirements with regulatory bodies (e.g. FCA, CBI).
  • Wrote two RMP documents approved by CBI (pre 2016 CP-86)
  • Regular meetings (formal and informal) and updates with Heads of desks, COO and CEO whenever this is advised given market conditions, portfolio changes and performance developments
  • Attended and presented to Board meetings. Chaired the quarterly business review with the different PMs.
  • Active mentoring of team members making sure they gain confidence and visibility in the firm.

Executive Director - Risk Management

20062009
Próxima Alfa Investment - BBVA Group (Madrid - London, New York)

Senior Vice President and Risk Management Director of the team responsible for measuring market risks for 11 platform funds, covering a wide range of strategies including Global Macro, Fixed Income Relative Value, Long/Short Equity, convertibles and Commodity Strategies. The combined platform manages approximately USD 3Bn.

  • Conducted the Portfolio modelling, VaR measurement, concentration analysis, stress testing and a set of sanity checks.
  • Devised the correct portfolio model depending on the strategy and the asset class involved.  Bucketed the portfolios into relevant risk factors and focused on the quality of market data in order to correctly express their evolution.
  • Monitored the Value-at-risk (VaR) of the funds using three different VaR models (parametric, full revaluation, Monte Carlo simulation). Original solutions (e.g. heteroscedasticity corrections) discussed and applied.
  • Monitored the Greeks (DV01, Gamma, Vega, and Theta) and performing stress tests on the portfolio.
  • Worked closely with Quant Development team based in London to enhance Risk Analytics.
  • Attended regular conference calls and Due Diligence processes with significant investors who need to understand risk, performance attribution and outlook for the fund portfolios. 

Vice President - Middle Office Operations

20042006
Vega Asset Management (Madrid)
  • Led a project focused on market data processing; P&L and risk applications development.
  • Used VBA coding extensively and ensured correct valuations of funds portfolios. NAV was always finalized within the 5 business days of each month . Vega has never restated the monthly NAV since its inception.
  • Regular meetings with fund managers with an aim to improve market dataset and portfolio approximations.

Treasurer/Fund Manager

19992004
Banco Zaragozano/BZ Gestión (Madrid)
  • Headed the institutional Fund Management group with approximately €700mm AUM. Director of a team of five fund managers. BZ Gestión institutional funds managed to achieved the top quartile during my full year as a PM (2003).
  • Appointed the Head of Capital Markets Unit within treasury operations 1999-2002. Managed the Proprietary portfolio and maintained a direct daily relationship with the bank CEO and the two main shareholders of the group.

Proprietary trader

19981999
Banesto (Madrid)
  • Focused on interest rates products and also equity indexes and FX securities.
  • Developed models and databases with an aim to build positions exploiting market inefficiencies and arbitrage opportunities.

Proprietary trading - Vice President

19931998
Bankers Trust Co. (London, Milan, Madrid)
  • Initially focused on the Italian bond market (relative value and fiscal arbitrage) and then to broad relative value activity involving money market instruments on European interest rate curves.
  • Developed models focused on interest rates curve, bond futures basis, TED spread.

Bond market analyst

19901993
Banca Euromobiliare (Milan)
  • Wrote weekly and monthly market letters for clients and various primers on the Italian bond market. Maintained contacts with specialized press (Financial Times, Les Échos, Il Sole24 Ore) and have been cited extensively.

Teaching assistant

19871990
Universita' "L.Bocconi" (Milan)
  • Teaching assistant for Economics base course and Microeconomics advanced course.

Continous education

MOOCS

2012present
Coursera platform
  • University of Washington - Prof. E.Zivot, Introduction to Computational Finance and Financial Econometrics, 2012 - 2013 (100%)
  • John Hopkins (Bloomberg school of Public Health) - Prof. Jeff Leek - Data Analysis, 2013 (92.9%)
  • John Hopkins (Bloomberg school of Public Health) - Prof. Roger Peng - Computing for Data Analysis  2013 (100%)
  • University of Washington - prof. Bill Howe - Introduction to Data Science, 2013 (100%)
    Practical data science: relational databases, MapReduce, NoSQL, statistical modeling,
    basic machine learning, visualisation (Tableau) and a variety of algorithmic topics. Analysed properties of
    a 0.5TB (a billion vertices) graph using Pig/Hadoop
  • Columbia University - Prof. Marting Haugh and Garud Iyengar, Financial Engineering and Risk Management, 2013 (100%)
  • University of Virginia - Prof. Philip Zelikow, The modern world: global history since 1760, 2014 (grade 98.8%)
  • Yale University - prof. Robert J. Shiller, Financial markets, 2014 (97.4%)
  • University of Pennsylvania - Prof. R.Ghrist, Calculus: Single Variable, 2014 (90.3%)
  • University of Michigan - Prof. Scott E. Page, Model Thinking, 2014 (95.2% - with distinction)
  • Rice University - Prof. Scott Rixner, Prof. Joe Warren, Prof. Luay Nakhleh, Principles of Computing (Part 1), 2015 (100% - with distinction)
  • Rice University - Prof. Scott Rixner, Prof. Joe Warren, Prof. Luay Nakhleh, Principles of Computing (Part 2), 2015 (100% - with distinction)