Thomas Schmelzer

Thomas Schmelzer is a highly accomplished quantitative researcher and portfolio manager currently serving as the Quantitative Research & Development Lead at Abu Dhabi Investment Authority (ADIA), one of the world's largest sovereign wealth funds.1

Academic Background

Dr. Schmelzer holds a prestigious academic pedigree:

• DPhil (PhD) in Computing from the University of Oxford, where he was a Rhodes Scholar at Balliol College12
• Studied under renowned mathematician Lloyd Nick Trefethen FRS1
• Previous degrees in Physics, Applied Mathematics, and Mathematics from various institutions

Professional Experience

Throughout his career, Dr. Schmelzer has held several notable positions:

• Quantitative Research & Development Lead at ADIA (current role)1
• Head of Research at Lobnek Wealth Management in Geneva1
• Senior quantitative roles at Winton Capital, IMC Trading, and Oxford Asset Management1

In 2023, he undertook a sabbatical at Stanford University, collaborating with Stephen Boyd, Kasper Johansson, and Philipp Schiele on high-performance algorithms for portfolio construction and related topics.1

Research and Contributions

Dr. Schmelzer is known for his work on:

• Developing and implementing complex financial models and trading strategies
• Co-authoring "Seven Sins in Portfolio Optimization" with Raphael Hauser1
• Ongoing research in portfolio construction, statistical arbitrage, and covariance matrix estimation1

Additional Interests and Achievements

Beyond his professional pursuits, Dr. Schmelzer:

• Regularly lectures to graduate students on mathematical topics2
• Has been an angel investor for over a decade, with a successful exit in 20202
• Is an avid long-distance cyclist, having participated in challenging races like Haute Route Alps 20142

Thomas Schmelzer's LinkedIn username is thomas-schmelzer-uae, reflecting his current location in the United Arab Emirates.2