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<HTML><HEAD><TITLE>Gerald C. Lavish's Project History</TITLE>
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<P align=center><font face="Times New Roman, Times, serif"><B><FONT size=+1>Gerald Charles Lavish</FONT></B><BR>
7 East 93rd
Street - #4A<BR>
New York, NY 10128<BR>
(212) 876-0354<BR>
<A
href="mailto:[email protected]">[email protected]</A> </font></P>
<P><font face="Times New Roman, Times, serif"><BR>
</font></P>
<font face="Times New Roman, Times, serif"><B>Detailed Project History</B>
</font>
<BLOCKQUOTE>
<P><font face="Times New Roman, Times, serif"><A href="http://www.lordabbett.com/"><B>Lord, Abbett & Co.</B></A><BR>
<BR>
</font>
<BLOCKQUOTE><font face="Times New Roman, Times, serif"><B>Investable Universe Model</B> - Built Excel-based model to
provide a benchmark in cases where a portfolio style does not have an
appropriate basis for comparison. Raw fundamental historical data comes from
FactSet with some Bloomberg live pricing connectivity. All programming done
in VBA. <BR>
<BR>
<B>Equity Dividend Discount Model (DDM)</B> - Updated
existing model and added functionality in Excel to allow analysts to
baseline their forecasts against a traditional valuation methodology. All
programming done in VBA with raw data from FactSet and Zacks Investment Research.
<BR>
<BR>
</font></BLOCKQUOTE>
<P></P>
<P><font face="Times New Roman, Times, serif"><A href="http://www.bbh.com/"><B>Brown Brothers Harriman & Co.</B></A><BR>
<BR>
</font>
<BLOCKQUOTE><font face="Times New Roman, Times, serif"><B>Islamic Index Fund</B> - Built Excel-based models to trade
assets. Used the Barra Aegis system to manage tracking error. Created
various Excel models with either VBA or VCPP engines to perform
calculations.<BR>
<BR>
<B>Asset Allocation</B> - Built deterministic asset
allocation model for small number of assets (<=5) with small weight
increments (~1%) to implement optimal client portfolio allocation. Model
used an Excel front-end with a linked VCPP DLL through VBA as the analytical
engine. Model also generates the efficient frontier and smoothes the
resulting curve to determine the leading edge using Visual Numerics IMSL
libraries.<BR>
<BR>
<B>CORE Trading Model</B> - Built models to deal with two
distinct trading scenarios: single stock trades in multiple accounts and
single account rebalancing.<BR>
<BR>
<BLOCKQUOTE>With multiple account trades, this model targets the desired
equity percentage for each individual account, backs out any foreign
holdings, and determines the correct number of shares to buy/sell in a
single issue based on current weight, target weight, and any lot
restrictions (such as rounding to 100 shares). It then generates a trade
ticket, checks the cash impact and any other compliance restrictions, and
checks existing holdings in our accounting system. This model uses a VBA
engine with a VCPP core DLL for optimization calculations. It pulls
account data (as a download) from Security APL, our terminal-based
portfolio management system.<BR>
<BR>
When trading a single account, this is
in response to cash inflows or future cash outflows to/from the account.
This model rebalances the entire account to the average account weights in
the CORE trading model (i.e. the weighted average of all accounts using
this model). Prices are pulled in real-time from Open Bloomberg and fed
into a VBA model that computes shares to trade on an issue by issue basis
depending on the trade constraints. This model also utilizes a download
from Security APL to provide current account
holdings.<BR>
<BR>
</BLOCKQUOTE>
<B>S&P ex-Financials Index</B> - Created
for a specific client, this index utilizes FactSet for index data and
extracts financial based issues. Finally it simulates the re-investment of
the resulting dividends to generate a total return figure using VBA with a
VCPP DLL and Visual Numerics IMSL libraries.<BR>
<BR>
</font></BLOCKQUOTE>
<P></P>
<P><font face="Times New Roman, Times, serif"><A href="http://www.rmeredith.com/"><B>Robert R. Meredith & Co.,
Inc.</B></A><BR>
<BR>
</font>
<BLOCKQUOTE><font face="Times New Roman, Times, serif"><B>Asset Allocation Model</B> - Pioneered our Asset Allocation
model that allows for a large number of asset classes (~20) with very small
weight increments (~0.1%) to construct client portfolios composed of mutual
funds. Integrated IBM's quantitative and Visual Numerics IMSL libraries with
a VCPP DLL linked to Excel VBA to increase the calculation speed by 500
times over straight VBA. Also implemented a Monte-Carlo based optimizer to
simulate various market conditions over the past thirty years. The
simulation pushed data using DAO over an OLE link to a Microsoft Access
database (ODBC) in real time for later analysis.<BR>
<BR>
<B>Quantitative
Mutual Fund Selection Screens</B> - Pioneered our model to perform multiple
regression analysis on 10-20 factors to screen mutual funds for selection in
specific asset classes. Model used historical Morningstar data and
implemented a VCPP DLL based on Visual Numerics IMSL libraries with an Excel
front-end. Used successfully to select funds that would finish in the top
quartile on an 18-month trailing basis.<BR>
<BR>
<B>Performance Reporting
Model</B> - Created reporting model that generated quarterly client reports
with charts (approximately 15 pages) in Excel. Model pulled data from Advent
AXYS data files, calculated returns based on cash flows, and produced
professional output with Excel 97's limited publishing capabilities. This
was my first experience in creating a DLL in VCPP. In this case, I needed
to calculate IRR with total flexibility (not provided by Excel's built-in
functions). My VBA module was too slow. The VCPP DLL provided speed gains of
over 500 times the interpreted VBA code.<BR>
<BR>
</font></BLOCKQUOTE>
<P></P>
<P><font face="Times New Roman, Times, serif"><A href="http://www.bessemer.com/"><B>Bessemer Trust Company,
N.A.</B></A><BR>
<BR>
</font>
<BLOCKQUOTE><font face="Times New Roman, Times, serif"><B>Technology Asset Tracking Model</B> - Built simple Excel
front-end to interface with a relational SQL 7 (Oracle) database to track
and value these assets in the firm.<BR>
<BR>
</font></BLOCKQUOTE>
<P></P></BLOCKQUOTE>
<HR SIZE=8>
<H3><font face="Times New Roman, Times, serif">Return to my <A href="resume.html">Resume
Page</A>!</font></H3>
<HR>
<DL>
<DT><font face="Times New Roman, Times, serif">Please email <A
href="mailto:[email protected]">[email protected]</A> with comments and
corrections. </font></DT></DL>
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