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Leo Haigh: Exploring the maths behind the commodities market

While studying maths at university, Leo Haigh thought he'd have a career as an accountant but quickly found himself drawn to the fast pace of commodities markets. He completed an internship before joining Macquarie's Graduate Programme where he's an Analyst in the Index Calculation team.

Leo Haigh always knew he wanted to work with numbers. So while completing a Master of Science in Mathematics from Imperial College London, he undertook an accounting internship for a large UK supermarket chain.

It wasn't long before Leo found he was more interested in the work of their commodities team rather than in accounting.

“I became very interested in what drives commodities, like how politics can affect the price of cocoa or how rain in India could affect the price of gold," explains Leo. “I was also attracted to a role in markets because of the faster pace."

Leo's co-workers noticed this curiosity and suggested he apply to Macquarie. He joined the Summer Intern Programme in 2018, working on structuring projects in the Quantitative Investment Strategies (QIS) team.

Experiencing both sides of the strategy

As an Intern, Leo worked in the QIS Structuring team, where he created tools for traders, analysed data and helped research new investment strategies. The QIS team designs quantitative rules-based investment strategies that aim to provide clients a return to compensate them taking on alternate risks.

“I completed research for brand new strategies alongside designing tools for traders, some of which they still use every day,” Leo explains. “I was fascinated by how members of my team collaborated with clients to fine tune and customise strategies.”

Leo received an offer to join the Graduate Programme in 2019 and, now on a 12-month rotation with the Index Calculation team, he's experiencing the process from the other side.

“Once a strategy has been developed, the Index Calculation team aims to independently calculate it," Leo explains. “We replicate and understand the strategy by following the rules used to create it."

Leo's role is a technical one. “It's very much a Python coding-based role," he explains. “With a background in maths I'd done some coding but I didn't study it in depth. Instead, I've learned a lot on the job. Everyone here is happy to help."

He says that a highlight of his work so far has been working on validating a new volatility-based strategy that's expected to become a flagship product. A typical day sees him covering anything from coding new strategies, to cleaning and onboarding data or maintenance of existing strategies.

More than work

Leo says he enjoys the social side of working at Macquarie. “I thought it would be super serious, but the events we have are amazing," he explains.

As co-chair and treasurer of the Graduate Volunteer Network, he has been keeping the network's fundraising activities going even during the COVID-19 pandemic. This has included running virtual quizzes and omelette making competitions.

“It was very impressive how quickly everyone adapted to working from home," Leo says. 

Even when working remotely, Macquarie employees were so keen to stay engaged and involved."

Responsibility and challenge

Leo has been surprised by the amount of responsibility Macquarie has given him. However, this has been possible due to the level of support he receives, as well as Macquarie's focus on graduate development.

“I never thought I'd be working on such integral products so early," Leo explains. “There is no hesitancy to give grads real responsibilities with supervision from senior team members. It's motivating to know what I do is key and important to my team. and with that responsibility comes the challenge to deliver accurately, often to tight deadlines."

The Graduate Programme has also helped Leo grow his network within Macquarie, with plenty of opportunities to meet employees in other areas of the organisation.

Everyone is willing to help and support each other and so many people have put aside time to explain what they do and give me advice. My manager is always available, but I am trusted to work independently."

When his time in the Index Calculation team comes to an end, Leo will move back to Structuring, where he will research and develop new strategies based on cutting-edge academic research. In this role he hopes to develop more understanding of commodities and the cross-asset space.

“There are so many different strategies, implementations and new maths," Leo says. “It's exciting, and I'd love to understand them all."

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