Sean Phayre

Background

About Sean Phayre

Investment Career To Date November 1995 : Edinburgh Fund Managers PLC May 1996 : Set up Quantitative Analysis Desk, Head of Quantitative Analysis Responsible for -Quantitative Stock Selection-Portfolio Risk Analysis and Control-Quantitative Research. March :Founder member of Derivative Products Group Management of -Futures-based Index, Geared and Bear Funds for each of five equity markets-Collar-style UK Protected Equity Fund-Cash-and-Call Global Protected Funds, three currencies, three levels of protection-Option Pricing/Valuation, Implied Volatility Estimation, Futures Pricing April 2001 :Head of Derivative Products Group, member of Investment Division board From 2002 EFM PLC/Aberdeen Asset Management PLC Founder member of Structured Products team, Co-head of Derivatives Products Group -Equity indexation; full replication, optimisation, futures-based tracking -Risk management via portfolio overlay strategies -Structured product development; structuring, pricing, marketing. Nov 2005 Scottish Widows Investment Partnership Limited Currently Director of Quantitative Analysis Responsible for assets totalling £49bn Portfolio Risk Measurement: Equities, Bonds, Multi-Asset, Futures, Options, Swaps Absolute Risk, Tracking Error, Daily VaR for UCITS Parametric Volatility, Non-parametric volatility, style analysis, portfolio profiling Asset Valuation models: Par IRS, Zero IRS, CDS, Inflation, Asset Swaps, vanilla equity OTC, Equity Cliquets Development of Pooled LDI product Curve Building Equity De-risked products and development of Quantitative Enhanced Equity New product stress testing – equity absolute risk, equity relative risk Money Market Fund stress testing – Stable NAV requirements Equity and Equity Derivative Fund Management: Passive Equities ~ £23bn Low Risk Active Equities ~ £22bn managed across two enhanced passive strategies UK, USA (First Quartile), Japan, Far East, Europe X UK, GEM First Quartile £1bn UK Covered Call fund