Quantitative, Volatility & Options

Expert Witness

Derivatives & Option Expert Witness | Volatility Expert Witness | VIX Expert Witness

Gontran de Quillacq

With over 20 years of Securities experience, Gontran de Quillacq offers a unique expertise in Portfolio Management, Derivatives & Swap Trading, Proprietary Trading and Investment Research. He has worked with top-tier banks and hedge funds in both London and New York.

As a proprietary and derivatives trader, Mr. de Quillacq traded derivatives, from vanillas to exotics. As a portfolio manager, he researched and managed investment strategies, delivered both in hedge fund and in structured note formats. He actually initiated the distribution of investment strategies with derivatives, an activity now called 'portable alpha' and 'smart beta'. For five years, Mr. de Quillacq then ran due diligence on investments strategies and selected senior investment personnel for some of the world’s most famous and most demanding hedge funds and asset managers. In 2017, he co-founded a quantitative fund deploying the latest machine learning techniques in global long/short equities.

Mr. de Quillacq's investment experience and cross-sectional review of other professionals give him unique perspective on what can be done, what should be done, what should not be done, and the grey areas in-between. During a personal case against HSBC, his legal team was so impressed by his wide and thorough knowledge in finance, his capacity to explain complicated ideas in simple terms, and his strong performance on the stand, that they strongly recommended he expand his litigation support services.

Mr. de Quillacq's services are available to attorneys representing both plaintiff and defendant and include written reports, deposition, arbitration, mediation, and trial testimony as needed.

Education

 

  • HEC, MS Management, alumnus ("diplomé d'HEC") - 1995

  • Ecole Superieure d'Electricite, DEA (doctoral degree) - 1993

  • Ecole Normale Superieure de Lyon, MS Theoretical Physics, alumnus ("ancien élève") - 1992

  • Ecole d'Application du Train, Military Academy, Lieutenant - 1991

  • Lycee Faidherbe, Classes Preparatoires - 1989

Qualifications

 

  • SFA: Trader - 1997, General Representative - 2001

  • DTB, Eurex, Xetra, EuroNext, Saxess, StocholmBorsen, HEX, SWX, Registered Trader - 1997-2002

  • FINRA Series 7, Series 55, Series 63 - 2006*  (*No longer registered or affiliated with FINRA)

  • FINRA: Non-Public Arbitrator - 2018

  • Computing: MatLab, R, LINUX/UNIX, C++, html, vba, Factset, Barra, Bloomberg, Reuters

  • Languages: Multi-lingual English, French, German. US & EU citizen.

  • Geography: NY/NJ-based; can travel globally.

Professional Experience

 

  • Navesink International; Fair Haven, NJ -  2016-Present

    • Advisory: Navesink International is a consulting and advisory firm, providing family offices, top-tier asset managers and hedge funds with investment due diligence on strategies and key investment personnel. We advise asset managers on their communication with allocators, on managing and growing their firms.

    • Co-Founder, Quantitative Machine Learning: QML delivers a market-neutral, industry-neutral and factor neutral multi-strategy portfolio in global equities using the latest machine learning techniques in alpha-modeling.

      • Capital Raiser: Brought the QML investment strategy from concept to market in less than a year. Leveraged a network of 15,000 financial professionals and sourced over $300 Mn of investments and $1Mn working capital through direct calls and investor presentations.

      • Strategist: Researched quantamental sub-strategies using machine learning techniques.

      • COO: Established research programs with ivy-league universities. Managed day-to-day issues.

  • The Atlantic Group, IJC Partners, IJC Associates; New York - 2013-2015

    • Head of Research: Leveraged a deep market experience, professionalism and an ever-growing network into identifying and interviewing the best investment professionals for top-tier asset managers & hedge funds.

      • Due Diligence: Ranked ‘Outsourced CIO’, one of very best quantitative investment analysts for the quality of my reviews on strategies & principals.

      • Client Development: Brought in major clients with direct calls, instilling confidence with credibility and work quality.

  • HSBC; New York - 2007-2012

    • Senior Vice-President, Structured Equities

    • Head, Delta One, Americas: Mined data, built an automated swap activity, catching the attention of clients, brokers, competitors, senior and global IT managements. Fielded client requests on allocations, cost analysis, proxy baskets, portfolio construction / transition. Authored investment notes, trading axes, and strategy recommendations. Managed global RFQs.

    • Co-Head, Correlation Exotics: Transformed a trading desk from loss to a profitability of $85 Mn/y. Conducted business reviews, identifying primary contributors to risk and loss – successively resolving each issue. Developed a worldwide flow of instruments, efficiently priced, executed and risk-managed.

    • Head, Client Solutions: Answered sales’ innovation needs with a quant equity strategy and its distribution:

      • Alpha Modeling: Reviewed academic literature, built infrastructure, obtained & cleaned data, selected factors through extensive back-tests, controlling for bias, robustness, over-fitting, turnover, liquidity, trading costs and risks.

      • Audit: Selected third party providers for independent back-testing, on-going composition and performance calculations.

      • Pre-Distribution: Wrote sales materials, advertised internally, elicited feedback, estimated volumes.

      • Approval: Assessed profitability, legal risks, distribution plans. Presented the project and obtained senior approval.

  • Nomura; New York - 2006

    • Co-Head, Equity Derivatives: Leveraged Nomura’s strength in investment research and turned around its flow of semi-exotics. Delivered new prop strategies in equity and volatility, a new structuration shelf.

    • Team Management: Eliminated errors with autopsies and procedures, fostered a culture based on result-orientation, initiative and cohesion.

  • Tykhe Capital; New York - 2004-2005

    • Trading, Research, Portfolio Management: Convertible bonds, global macro, structure arbitrage (options vs. credit).

  • Lehman Brothers; London - 2000-2003

    • Research, Structuring, Trading: Built a multi-strategy desk. $70 Mn/y, half of Europe’s equity derivatives.

      • Structured Products:  200+ notes /y, wide diversity, tailor-made from client requests or from research.

      • Portable Alphas / Smart Betas / Risk Premia

      • Access Products: First ETFs in Europe, global indices, dynamic swaps, EFPs, reshuffles…

      • Technological Advances: Algorithmic trading, pricers, automated corporate actions...

  • Société Générale, London - 1995-2000

    • Statistical Arbitrage: Launched new activity, infrastructure, academic reviews, back-tests, risk, trading.

    • Index Arbitrage: London’s undisputed leading FTSE arbitrager. GBP 22 Mn/y ($45 Mn), four times target.

    • Option Trading: Trader Assistant (Liffe Floor).

    • Quant Intern: Commodities exotic option pricing model.

  • Various Universities; Paris - 1993-1995

    • Professor Assistant: Under- and post-graduate levels.

  • 511ème Régiment du Train; Auxonne - 1991

    • Commanding Officer: Commanded a logistic platoon at the time of the 1st gulf war. First Lieutenant

Investments & Trading
  •  Derivatives
    • Delta One
    • Swaps
    • Vanillas
    • Exotics
  • Proprietary Trading
  • Options Trading
  • Structured Products
  • ​Complex Financial Instruments
  • Hedge Funds
  • Benchmarks Manipulation (Libor, FX, Indices)
  • Liquidity Management
Quantitative Analysis
  • Statistical Arbitrage
  • Index Arbitrage
  • Algorithmic Trading
  • Liquidity Management
  • Portfolio Construction / Allocation
  • Risk Analysis
  • Portable Alpha / Smart Beta / Risk Premia
  • Investment Strategy Due Diligence
  • Machine Learning
  • Volatility / VIX
  • Leveraged ETFs
FINRA & Court Proceedings
  •  Expert Testimony
  • White Collar Crime
  • Initial Case Evaluation
  • Filing a Claim
  • Discovery Guidance
  • Party Identification
  • Document Review​
  • Assistance with Pleadings & Responses
  • Expert Reports & Affidavits
  • FINRA Arbitration & Mediation
  • ​Broker-Dealer Disputes

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Barrington Financial Consulting Group, Inc.

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800-741-0704  |  952-857-2411  |  Fax: 952-835-1504  |  E-mail


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