Tobias Renshaw — Senior Quantitative Analyst
London
Quantitative analyst with nine years across market risk, systematic equity and systematic credit. Rebuilt a credit desk's transaction-cost model so that backtested and live returns now differ by 35 basis points a year rather than 180. CFA charterholder, and author of the research replication standard the quant team works to.
Experience
Senior Quantitative Analyst, Ferngate Capital · May 2022 – present
Systematic credit desk. Research team of five, working alongside two portfolio managers and the execution desk.
- Researches and maintains three of the nine live signals on a systematic credit book, together carrying about 40% of the strategy's risk budget.
- Rebuilt the transaction-cost model from quoted spreads to realised fills, narrowing the gap between backtested and live returns from 180 to 35 basis points a year.
- Built the intraday liquidity screen that stopped the desk trading 140 bonds it could not exit within a day; turnover fell 9% and slippage 22%.
- Wrote the replication standard now used across the quant team: every backtest reproduces from one command against pinned data and a pinned environment.
Quantitative Analyst, Brightmoor Asset Management · February 2019 – April 2022
- Designed the multi-factor equity model behind a £780m fund, adding 1.4% annualised over the scorecard it replaced across four years of live trading.
- Cut the nightly risk run from six hours to 40 minutes by vectorising covariance estimation and caching factor exposures between portfolios.
- Found a look-ahead bias in the earnings-revision factor that had flattered five years of research, retiring two proposed strategies before launch.
Quantitative Analyst, Market Risk, Castlereagh Bank · July 2017 – January 2019
- Built the value-at-risk backtesting programme that cleared the 2018 internal model review with no findings raised.
- Automated daily stress testing across 12 portfolios, replacing a four-hour manual spreadsheet routine with a 15-minute scheduled run.
Education
- MSc Statistical Science · University of Oxford · October 2016 – June 2017
- BSc Mathematics · University of Warwick · September 2013 – June 2016
Skills
- Quantitative methods: Factor modelling, Time series, Portfolio optimisation, Transaction cost analysis, Bayesian shrinkage
- Programming: Python, C++, kdb+/q, SQL, pandas, NumPy
- Markets: Corporate credit, Equity factors, Market risk, Execution, Regulatory capital
- Infrastructure: Reproducible research, Backtesting frameworks, Git, Airflow, Containerised environments
Certifications
- Chartered Financial Analyst (CFA) — CFA Institute
- Financial Risk Manager (FRM) — GARP