Please edit my SOP

[nalini104]

Hi all--I'm the newest member of the community. I'm hoping to receive feedback on my essays belong. Unfortunately, I don't have knowledgeable resources to turn to, so I'm looking for your help! Any and all feedback would be much appreciated. Cheers!

 

Describe how you've applied your quantitative skills at work

Each morning at work, I run overnight performance for our fixed income accounts. I maintain sole responsibility for monitoring over 90 accounts across nine mandates, verifying data for accuracy before sending it on to the Portfolio Managers. Given the murkiness of fixed income markets, inaccurate performance is commonplace and identifying it a challenge. Each account has its nuances, so understanding which performance figures are plausible demands account-specific expertise. While I have developed a discerning eye, my firm’s recent acquisition of 100 new accounts has created a volume of work that demands an efficient logic. My solution focuses on tracking each account’s moving average of its relative daily performance. Accounts with overnight performance more than X standard deviations outside its moving average are flagged for a second look. I determined X by mapping each account’s tracking error, assuming the budget is maintained. Under my process, I have unearthed a host of mispriced bonds and missing flows. Recently, a corporate account was flagged despite an innocuous performance of -3 bps. Upon further examination, we determined the pricing hierarchy had inadvertently been switched, pricing the portfolio with lower Merrill quotes instead of Barclays. Admittedly, my process is far from perfect, sometimes raising false positives. I decided to employ a moving average technique because I feel confident in my knowledge of it. As I pursue graduate study, I hope to increase my confidence across all statistical models so I may better differentiate their ability to address future issues I will encounter.

[myoranges]

I smell a M.Fin, MFE, or some kind of quant-intensive finance program, but I don't think I can know for sure. What program are you applying for?

[myoranges]

Also... I am an industrial engineer so take my following words with a grain of salt! Well, I am not sure what your prospective programs require, but to my knowledge moving average filtering technique is one of more simpler and common techniques in finance and statistics -- if you can, feel free to explore other techniques, such as Savitzky-Golay filter or DTFT (Discrete-Time Fourier Transform) filter. These techniques are more fun ones to play around with, and just by saying "I explored X, Y, and Z and compared these techniques" could mean something more significant.

 

Again, I am not an expert in finance ... so maybe somebody with a more robust finance background can help you out better

[missiongradschool]

You may send your Statement of Purpose to me. In the past, as a part of my professional responsibility I helped at least 120 students with their SOPs. 

 

Regards,

Missiongradschool