About
Global macro portfolio manager with 28 years of institutional experience across Linear Asset Management, BlackRock, UBS Pactual, BTG Pactual, Rosenberg Investments, Opportunity Asset Management — where he headed a full suite of global macro hedge fund strategies totaling R$4.5bn in assets — and SPX Capital, where he most recently ran a ~$510M book focused primarily on rates, with FX expressed macro-thematically. His research applies asset-pricing theory and robust control to hedge fund structure and sovereign term-structure dynamics, drawing on a PhD in Economics from the University of Chicago — studying alongside some of the top academics in finance and monetary policy — and Master's degrees from USP and the University of Chicago.
- Based
- São Paulo · open to relocation
- PhD
- Economics, University of Chicago (2006) — Asset Pricing & Monetary Theory
- MA
- Economics, University of Chicago (2002) · Economics, USP (1999)
- BA
- Economics, Universidade de São Paulo (1994)
- Prior
- SPX Capital · Opportunity Asset Management · Rosenberg Investments · BTG Pactual · UBS Pactual · BlackRock · Linear Asset Management
Dissertations
Doctoral & master's research
Essays on Venture Capital Investment
Two essays on what drives venture capital and what it produces. The first identifies the determinants of VC investment across US regions rather than across countries — holding fixed the financial variables cross-country studies pick up, and finding the quality of local academic production to be the dominant explanatory variable. The second tests whether VC investment causally raises innovation and new-business formation, instrumenting with regional and sectoral variation in academic output to separate genuine effect from a higher propensity to patent.
Uma Avaliação de Modelos de Value-at-Risk: Comparação entre Métodos Tradicionais e Modelos de Variância Condicional
Compara as técnicas mais usadas para estimar a matriz de covariâncias por trás do VaR delta-normal — suavizamento exponencial, GARCH e volatilidade estocástica — aplicadas a uma carteira de ativos brasileiros, com a simulação histórica como alternativa livre da hipótese de normalidade. A avaliação usa o método de Lopez (1998), adequado a séries históricas relativamente curtas, já que estimação por intervalos não admite as técnicas econométricas usuais de comparação de previsões.
Papers
Working papers & SSRN
Brazilian Interest Rates: Term Premium, Fiscal Dominance, and the Real Curve
Separates Copom's expected policy path from the compensation investors demand to hold Brazilian duration, and proposes reading term premium composition as a structurally motivated marker for fiscal dominance risk versus credible policy delivery, tested on two historical episodes. Properly controlling for US term premia means testing for cointegration rather than assuming it — both the nominal and real Brazil–US relationships prove genuinely cointegrated, yielding a "basal" premium indicating how much of Brazil's current reading is priced globally versus genuinely local. The identical machinery extends to Brazil's real (NTN-B) curve, recovering a real term premium and a nominal-real breakeven decomposition.
Three Routes to a Neutral Rate: Structural, Bridge, and Reduced-Form Estimates for Brazil
States the full spectrum of neutral-rate estimation as a genuine choice — structural, bridge, or reduced-form — rather than picking one silently, and tests directly whether Ang and Piazzesi's (2003) bridge is worth adopting for Brazil, using their own twelve-lag macro specification rather than a simplified approximation of it. Recovers both a nominal and a real neutral-rate estimate for Brazil from the same no-arbitrage machinery, the real reading landing within a tenth of a percentage point of BCB's own communicated figure.
Ambiguity Aversion in Pod-Platform Risk Allocation: Pricing Hidden Cross-Pod Correlation
Asks when Hansen–Sargent robust control actually helps a pod-platform allocator sizing capital across nominally independent pods. A volatility-driven ambiguity penalty turns out redundant with ordinary sizing; a penalty driven by realized cross-pod correlation drift — a risk ordinary sizing cannot see — dominates decisively, and is confirmed via HJB/BSDE analysis to be the exact dynamic optimum, not just a heuristic.
Pod Platforms: A Perfect Filter, or a Perfectly Coarse One?
A continuous-time model of the multi-manager pod platform — each pod's return decomposed into alpha, market beta, and idiosyncratic risk, the fund itself a portfolio of pods, and rigid stop-loss rules examined as a coarse filter that reveals a PM's true, unknown skill rather than cleanly separating luck from skill.
Ambiguity aversion earns its keep only when it prices a risk the underlying portfolio machinery cannot already see.
Notes
Applied research on Brazil rates & FX
What the DI Curve Is Actually Pricing
Separates Copom's expected policy path from the risk premium the market charges to hold Brazilian duration — PCA factor decomposition, ACM term-premium estimation, a US-control regression, and a DV01-neutral relative-value screen across the DI curve.
Brazil's Fiscal Risk Premium: An NTN-B Extension
Extends the DI curve's ACM/BRW methodology to Brazil's real (NTN-B) curve, quantifying a real term premium that rises monotonically with maturity and testing it against technical-versus-risk-pricing explanations for the recent move.
Four Channels for BRL
Decomposes USDBRL into rate-differential, dollar, commodity, and domestic term-premium channels — each tested for orthogonality before admission — with a fair-value chart and a dollar-neutral counterfactual showing how much of BRL's recent move is genuinely dollar-driven versus domestic.
Essays & Commentary
Fiscal dominance & Brazilian political economy
Theoretical Foundations: Why Fiscal Sustainability Imposes a Ceiling on Optimal Monetary Policy
A technical companion piece formalizing the fiscal-ceiling argument through the Ramsey optimal-policy problem, the transversality condition on public debt, and the Fiscal Theory of the Price Level, addressing the central technical objections directly.
A Política Monetária Brasileira Está Ficando Sem Espaço
Argumenta que o impulso parafiscal brasileiro está neutralizando parte relevante do aperto monetário, e que a condição de transversalidade sobre a dívida pública impõe um teto efetivo sobre a Selic — sem se tratar de um chamado à leniência do Banco Central.
A Política do Acidente Histórico
Um ensaio sobre economia política brasileira: por que as reformas mais profundas do país nascem de acidentes históricos — crises e rupturas — e não de mandatos eleitorais concebidos para reformar.
Mandate & Background
For allocators
That career — discretionary, reaction-function-led judgment at the front end of the curve, fused with the quantitative risk-premium machinery built out in the notes above — is the quantamental practice this mandate formalises. Positioning is organized around the Reaction Function Curve: judgment leads where the committee's own reasoning is the object being priced, and quantitative machinery takes over further out, where path and term-structure dynamics dominate.
The Reaction Function Curve: A Rates-Led Global Macro Mandate
A full investment mandate for a rates-led global macro allocation, anchored in the Americas — LATAM, US, Canada — and built around identifying policy regime from the rates curve and monetizing it through satellite positions in FX. Full performance track record and risk metrics available on request. Available as a full document and one-pager.
Pod Platforms: A Perfect Filter, or a Perfectly Coarse One?
The full book-format edition of the pod platforms paper — preface, expanded glossary, a chapter for practitioners, and an open-questions chapter framing the ongoing research agenda.
| Firm | Role | Focus / AUM | Years |
|---|---|---|---|
| SPX Capital | Senior Portfolio Manager | Global Macro, Rates Americas + up to 1/3 FX · $510M | 2024–26 |
| Opportunity Asset Mgmt | Head Portfolio Manager | Full suite of multimercado strategies (Opp Market, Total, Total Evolution, Previdência) · R$4.5bn under supervision | 2018–24 |
| Rosenberg Investments | CIO, Senior Partner | Client allocations R$3bn · Rosenberg Macro fund R$100mn | 2014–18 |
| BTG Pactual | Proprietary Trader | International Macro book, EM & G7, FX & fixed income | 2010–14 |
| UBS Pactual | LATAM FX Strategist (Director) | LatAm FX & Brazilian fixed income | 2007–10 |
| BlackRock | EM Quantitative Analyst | EM Quant Strategy & Risk Analytics | 2006–07 |
| Linear Asset Management | Chief Economist / Risk Analyst | Macro research & risk management | 1996–2000 |