As a Senior Research Scientist and Portfolio Manager at AlphaSimplex, Mr. Lee serves as a co-portfolio manager for the AlphaSimplex Global Alternatives Strategy. In this role, he is focused on portfolio management, applied research in hedge fund-related strategies, and overall capability development. He has over 10 years of industry experience.
Mr. Lee joined AlphaSimplex in 2007. He specializes in systematic single-name equity trading strategies, hedge fund factor replication, and modeling probabilistic dynamic systems using perspectives from probability, information theory, economics, and engineering. Much of Mr. Lee’s recent work involves designing representations of latent information that drive trading decisions.
Mr. Lee earned an AB in applied mathematics with a minor in economics from Harvard University. He also earned an SM in operations research from MIT.
Risk, return and correlation properties of hedge funds in a mutual fund, using proprietary hedge fund beta replication strategy with active risk management.