Kaiyuan Macro Fund
The investment objective of the Fund is to achieve long term absolute returns by profiting from diverse liquid global assets including currencies and interest rates instruments.
To achieve the investment objective, the Fund employs a constantly evolving proprietary quantitative framework that combines a diverse set of absolute return opportunities including both long-term and short-term country relative value opportunities and directional opportunities. Such return opportunities are from a global investment universe of all developed countries and emerging market countries with sufficient liquidity and from multiple asset classes including currencies and interest rates. The strategy frequently adjusts portfolio position by constant evaluation of risk and reward trade-offs and aims to achieve an average holding period of 2-4 weeks.
Zan has over 14 years of experience in global macro investing.
He was a Portfolio Manager at PGIM Fixed Income during 2015-2023. He built the quantitative FX and Rates strategies business and participated in managing investment products of a combined AUM of over US$90 billion. Zan was a Quantitative Analyst at AllianceBernstein 2011-2015, where he was responsible for research and management of FX and asset allocation strategies.
Prior to his career in the investment industry, Zan had a successful academic career. He was a tenured professor in Information Systems in the Department of Supply Chain and Information Systems of the Smeal College of Business at the Pennsylvania State University from 2005 to 2011. He developed extensive research expertise in the areas of business analytics, data mining, machine learning, recommender systems, and social networks. He is well published in top journals in Information Systems and has won several best paper awards in top conferences.
Zan received PhD in Information Systems from the University of Arizona in 2005. He was the sole winner of the Best Dissertation Award of the Information Systems field in 2005. Zan received B.E. degree in Management Information Systems from Tsinghua University in 2000.