Taking a Sophisticated Approach to Advanced Risk Modeling

Jose Menchero

Head of Portfolio Analytics Research

Bloomberg L.P.

Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the full suite of factor risk models spanning multiple asset classes, as well as portfolio risk and return attribution, portfolio construction, and portfolio optimization.

Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.

Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

Ercument Cahan

Portfolio & Risk Analytics Research

Bloomberg L.P.

Ercument Cahan is Senior Quant Researcher at Portfolio Analytics Research at Bloomberg. Ercument is responsible for developing the full suite of equity and fund factor risk models, as well as portfolio risk and return attribution, portfolio construction, and portfolio optimization. Prior to joining Bloomberg, Ercument worked at Allianz Global Investor Capital as a quantitative researcher, where he worked worked on option risk models. Ercument also worked at Platinum Grove Asset Management as a quant researcher, where he developed statistical factor models and GDP nowcasting algorithms. Ercument holds a PhD in economics from the University of Washington, and a BS degree in economics and political science from METU in Turkey. Ercument is a CFA Charterholder.

Peng Li

Portfolio & Risk Analytics Research

Bloomberg L.P.

Peng Li is a Portfolio Risk and Analytics Researcher at Bloomberg. His team is responsible for developing the full suite of factor risk models covering multiple asset classes. Peng also develops and manages the Commodity Risk Model on PORT. Prior to joining Bloomberg, Peng worked for six years at Credit Suisse Securities, where he was a quantitative strategist with multiple trading desks. He was responsible for developing quantitative models and strategies for commodities and commodity index trading, as well as credit trading. Peng holds a PhD in Operations Research and a MS degree in Statistics from the University of California at Berkeley, and a BS degree in Applied Mathematics from Fudan University.

Andrew Cohen

Head of Portfolio and Risk Product

Bloomberg

Antonios Lazanas

Head of Portfolio and Index Research

Bloomberg L.P.

Antonios Lazanas is the head of Portfolio, Index and ESG Research at Bloomberg. His team is responsible for developing advanced multi-asset portfolio analysis and construction models, analyze risk premia across asset classes and embed them in customized index solutions, and synthesize ESG data into meaningful measures that are then deployed in portfolio and index construction in a disciplined fashion. Antonios has been involved in the quantitative portfolio and index research area for 20 years. His teams have introduced a number of innovative ideas such as using duration-times-spread in risk modeling and explaining the returns of alternative investments with a well-defined set of risk premia. Prior to joining Bloomberg, Anthony was the co-head of Barclays Risk Analytics and Index Solutions where he oversaw the successful transition of the Barclays Index and Portfolio business to Bloomberg in August 2016. He joined Barclays in 2008 after spending thirteen years at Lehman Brothers. Antonios holds a PhD and Masters in Computer Science from Stanford University. He began his career in 1993 at Salomon Brothers as an interest-rate modeler.

Mike Fong

Senior Investment Risk Manager

Franklin Templeton

Mike Fong is a senior risk manager in the Investment Risk Management Group for Franklin Templeton Investments. He is currently a risk consultant for the domestic multi-sector fixed-income investment team and a risk consultant for the municipal bond investment team. Upon joining Franklin Templeton Investments in 2011, Mr. Fong brought with him much fixed-income experience from his previous roles. At Gifford Fong Associates he was a fixed-income application developer. At Prudential he was a fixed-income portfolio research analyst for the Capital Management Group. At Barclays Global Investors he started as a fixed-income portfolio researcher then became a portfolio manager and trader. At Mellon he was a fixed-income portfolio manager and trader. Mr. Fong earned a B.A. in applied mathematics and a B.A. in statistics from the University of California, Berkeley, and an M.B.A. in finance and international business from NYU Stern School of Business. Mr. Fong is a Chartered Financial Analyst (CFA) charter holder and is a member of the CFA Institute and the CFA Society of San Francisco. Mr. Fong also holds the Financial Risk Manager (FRM) designation and is a member of the Global Association of Risk Professionals

Matt Brundage

Head of Americas Buy-Side Sales Management

Bloomberg L.P.

Matt Brundage manages Bloomberg’s Buy-Side Product Sales and Relationship division for the Americas. In this role, Matt supports client relationships across three of Bloomberg’s most strategic investments for the buy-side: our portfolio risk and attribution franchise, our order management business and our risk solutions. Prior to this, Matt looked after our Americas Analytics Team across New York, San Francisco and Brazil. His team of 400 managed inquiries from a broad range of clients across the Terminal and execution platforms as well as our order management systems. Matt has also served as Bloomberg's Global Sales COO. In this role, He helped to create, implement and execute large-scale strategies to grow and maintain Bloomberg's business across all of its clients. Matt holds a bachelor's degree in Finance from the University at Albany - State University of New York.