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Helder Palaro

Summary

Helder Palaro is a quantitative researcher specializing in volatility trading, trend-following strategies, portfolio management, and machine learning applications in finance.

Professional Experience

Founding partner, Bayes Capital Management, London UK (2020-) (company based in São Paulo, Brazil)

Head of Research. Investigating and implementing alternative data, new indicators and new statistical methods for systematic strategies in the Brazilian and global equity markets. Developing a global trend-following/risk-premium strategy across asset classes, trading future contracts.

Palaro, H. (2021) Alternative models to portfolio selection in the Brazilian market.
Palaro, H. (2021) Applying the IPCA model in the Brazilian market.
Independent Systematic Trader, Monaco (2013-2020)

Developed and traded several strategies which explored inefficiencies in the global derivative markets, including a volatility arbitrage strategy and an adaptive risk-premium strategy. The strategies were implemented by futures and options exchanged-traded contracts.
Quantitative Researcher, Aquila Capital, Malta (2012-2014) (company based in Hamburg, Germany)

Responsible for the research and development of the FundCreator risk management system, used by the AC Risk Parity family of funds, Aquila Capital, Hamburg. The system was unique in its capability to tightly control a large variety of risk parameters. The fund applied FundCreator on a daily basis to closely track its key risk parameters and to actively optimize the portfolio exposure, thereby ensuring a stable and predictable risk profile over time.
Quantitative Analyst, AHL, Man Group, London UK (2007-2011)

Worked within the volatility arbitrage team. Created strategies for volatility trading using options for several asset classes, such as equities, bonds, commodities and foreign exchange. Developed strategies for delta-hedging options minimizing transaction costs. Fitted volatility models for high-frequency data.
Embedded Systems Programmer, Stoneridge, Campinas, Brazil (1996-1998) Designed Microchip PIC machine-language software for car alarms, power windows and other automotive products.

Education

PhD in Finance, Bayes Business School (formerly known as Cass), City University, London UK (2004-2007)
Kat, H and Helder Palaro (2007) Replication-Based Evaluation of Hedge Fund Performance.
Kat, H and Helder Palaro (2006) Hedge Fund Indexation the Fundcreator Way: Efficient Hedge Fund Indexation without Hedge Funds.
Kat, H and Helder Palaro (2006) Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation.
Kat, H and Helder Palaro (2006) Replication and Evaluation of Funds of Hedge Funds Returns, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties (eds: Greg Gregoriou), Chapter 3, Elsevier Press.
Kat, H and Helder Palaro (2005) Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication ,
Kat, H and Helder Palaro (2005) Hedge Fund Returns: You Can Make Them Yourself! , Journal of Wealth Management 8, 62-68.
MSc in Statistics, State University of Campinas, Brazil (2002-2004)
Hotta, L K; Lucas, E C and Helder Palaro (2008) Estimation of VaR using Copula and Extreme Value Theory, Multinational Finance Journal 12 (3/4), 205-218.
Hotta, L K and Helder Palaro (2006) Using Conditional Copulas to Estimate Value at Risk, Journal of Data Science 4 (1), 93-115.
BSc in Statistics, State University of Campinas, Brazil (1998-2001)
Electronics Technician, Technical high school of Campinas, Brazil (1993-1996) Electronics, digital circuits, power engineering, telecommunications, control systems, signal processing, instrumentation.

Finance Hub Presentations

Network diversification for a robust portfolio allocation, 20th/Jun/2022.
ML Models for Portfolio Selection in the Brazilian market, 13th/Dec/2021.
Breaking Bad Trends, 20th/Sep/2021.
IPCA Model, 16th/Nov/2020.

Press Coverage

Financial Times, Leaving parties, 29/07/2010
Valor Economico (In Portuguese), Software barateia custo para investir em hedge funds, 27/07/2007
The New Yorker, Hedge Clipping, 02/07/2007
Bloomberg, Hedge-Fund Returns Can Be Matched Without Fees, Professor Says, 28/11/2006
Financial Times, Low-cost clone for funds launched, 28/11/2006
Financial Times, Replication is the new buzzword, 20/11/2006
The Economist, Send in the clones, 28/10/2006
The Economist, Special report - Hedge funds: Growing pains, 04/03/2006
Financial Times, Only 17% of hedge funds outperform, 13/02/2006
Financial Times, Better than hedge funds for less, 09/01/2006
Financial Times, Synthetic hedge fund returns 'better', 28/11/2005
Financial Times, Academics put their heads together on hedge funds, 20/06/2005

List of papers about volatility trading and trend-following