Nick Liu

Master\'s Field Project @State Street Investment Management

Boston, MA, US

Engineered multi-asset portfolio optimization model utilizing Kelly Criterion framework with rolling window probability inputs for monthly rebalancing, incorporating 3-month momentum and 6-month inverse volatility weighting to maximize risk-adjusted returns and capital allocation efficiency.Designed a drawdown methodology to dynamically adjust S&P 500 exposure during macroeconomic shifts, implementing systematic risk controls that reduced maximum drawdown to 27.2% vs. the 30.4% benchmark portfolio. Delivered exceptional portfolio performance, achieving 610% total return vs. 205% static benchmark (9.9% vs. 5.5% annualized over 20 years), with enhanced risk metrics including a 0.60 Sharpe ratio, 57% monthly hit rate, and comprehensive scenario analysis across market cycles.Built a comprehensive backtesting framework using Python with 20+ years of historical data, analyzing performance attribution, volatility management, and risk-return optimization to validate model robustness across various market regimes and economic cycles.