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Charles Carre, CFA

cell (845) 893-9534 ♦ ccarre@rcn.com ♦ 405 West 57th Street 4G New York, NY 10019

Summary: Investment professional with portfolio management and strategy experience on the buy- and sell-side and
Fund of Alternative Investments. Market strategy and product experience in US Treasury and sovereign debt, US
mortgage and agency debt, fixed income derivatives, credit, and convertible bonds. Experience in: 1) portfolio risk
management, asset allocation, and attribution analysis; 2) macroeconomic analysis applied to portfolio construction
and security selection; 3) using quantitative software tools to price instruments, evaluate portfolio risks, and manage
large securities portfolios; 4) asset-liability analysis of commercial bank balance sheets and 5) evaluating hedge fund
strategies and businesses for potential investment opportunity. Excellent oral and written communication skills and
experience in presenting to investors and managing institutional relationships. Masters of Science in Mathematics in
Finance from the Courant Institute (NYU)

PROFESSIONAL EXPERIENCE

Ivy Asset Management New York, NY

Vice President, Investments 2007 – 2009

• Developed investment pipeline for Ivy hedge fund products in fixed income relative value and macro strategies
including fixed income arbitrage, convertible bonds, volatility strategies, credit, global macro, and multi-strategy:
screen investment universe, interviewed prospective investment managers, and led due diligence effort.
• Authored fixed income, volatility, and convertible bond hedge fund investment recommendations to Investment
Committee for inclusion in Ivy investment portfolios.
• Performed regular risk analysis, P and L attribution analysis, and relationship management of Ivy hedge fund
investments; aggregated risk exposures across Ivy relative value investments.
• Performed quantitative analysis on Ivy hedge fund products such as correlation to investment universe, skew and
kurtosis of returns, and risk-adjusted performance.
• Authored research pieces and white papers for Ivy Investment Committee and clients on topics such as
“Investing in Volatility Strategies”, “Fixed Income Hedge Fund Trading Strategies”, and “Impact of the Mortgage
Agencies on the Hedge Fund Universe”.

Salomon Smith Barney Global Fixed Income (Citigroup Global Markets) New York, NY

Vice-President, Fixed Income and Portfolio Strategist, Bond Portfolio Analysis 1999 – 2007

• Developed portfolio strategies in rate products (treasuries, agencies, sovereigns), derivatives (swaptions, volatility,
interest rate options), mortgages (pass-throughs, CMOs, hybrids), and credit (cash and derivatives) leading to large
transactions and total return enhancement of customer portfolios.
• Applied portfolio optimization and relative value recommendations to institutional fixed income portfolios
improving portfolio diversification and risk exposure targets.
• Implemented probability of default models on credit portfolios for optimization and credit risk management.
• Simulated, identified, and neutralized fixed income market risks such as duration, convexity, credit spread, yield
curve slope, prepayment, liquidity, and cash flow for client portfolios on institutional fixed income portfolios;
conduct VaR analysis.
• Performed return attribution analysis on multi-asset bond portfolios in Yield Book with a particular focus on
mortgage and credit portfolios.
• Expert user of Yield Book, Lehmanlive, and ZM Financial asset/liability modeling software.
• Developed fixed income asset allocation model in Matlab programming language for rebalancing institutional
actively managed portfolios.
• Developed and managed model portfolios benchmarked to the Citigroup Indexes for marketing our group’s services.
• Marketed and presented portfolio strategies at conferences, weekly strategy calls, and in Citigroup publications.
• Recommended asset vs. liability transactions for commercial banks, such as structured notes vs. structured repo to
address liquidity, cash flow, deposit, and balance sheets constraints.

Analyst/Associate, Government Bond Strategy /Interest Rate Product Strategy

• Co-authored several editions of Guide to US Agency Debt Securities, a Citigroup publication


• Developed relative value strategies in Agencies, Treasuries, Mortgages, and Fixed Income Derivatives for use by
institutional sales force and trading desks
• Authored weekly article for Citigroup’s Bond Market Round Up: Strategy

Board of Governors of the Federal Reserve System Washington, DC

Research Assistant, Monetary Affairs Division 1998 – 1999

• Analyzed trends in the fixed income markets for Federal Reserve staff and briefing to Board of Governors
• Wrote private sector macroeconomic and market forecast summary for the FOMC briefing book.

SHORT TERM EMPLOYMENT


Morgan Stanley Quantitative Research Group: Winter 1995 Federal Reserve Board Governors: Winter 1996,
Investment Company Institute: Summer 1997 Dix Hills Partners: Summer 2009

EDUCATION

New York University, Courant Institute of Mathematical Sciences New York, NY


Masters of Science in Mathematics in Finance January 2007

Thesis: Black Litterman Model: Cross-Sector Asset Allocation in Fixed Income Markets

Oberlin College, College of Arts and Sciences & Conservatory of Music Oberlin, OH
Bachelor of Arts, with Honors in Economics May 1998
Bachelor of Music in Trumpet Performance May 1998

Honor’s Thesis: Modigliani (M^2) Risk-Adjusted Returns of Socially Screened Investments


Principal and Section Trumpet in Oberlin Conservatory of Music Performance Ensembles
1998 Oberlin College Rhodes Scholar Nominee; Comfort Starr Prize in Economics

ACCREDITATIONS and REGISTRATIONS

Chartered Alternative Analyst Institute Amherst, MA


Candidate Level II of II March 2010, Exam Date

Chartered Financial Analyst Institute Charlottesville, VA


CFA Charter holder September 2003
NASD Series 7, 63
COMPUTATIONAL SKILLS
• Programming experience: Matlab, Splus, VBA, SAS
• Financial Software: YieldBook (Expert User), Lehmanlive, Bloomberg, Asset Liability Management Software

PROFESSIONAL ASSOCIATIONS
• CFA Institute (CFAI); Chartered Alternative Investment Analyst (CAIA); New York Society of Security Analysts

COMMUNITY LEADERSHIP
• Member: Oberlin College Alumni Council
PERSONAL INTERESTS
• Classically-trained trumpet player. Enjoy biking, skiing, and yoga.