VP, Quantitative Research Analyst
We are PIMCO, a leading global asset management firm. We manage investments and develop solutions across the full spectrum of asset classes, strategies and vehicles: fixed income, equities, commodities, asset allocation, ETFs, hedge funds and private equity. PIMCO is one of the largest investment managers, actively managing more than $2.22 trillion in assets for clients around the world. PIMCO has over 3,000 employees in 20 offices globally. PIMCO is recognized as an innovator, industry thought leader and trusted advisor to our clients.
PIMCO is one of the world's premier fixed income investment managers with thousands of professionals around the world united in a single purpose: creating opportunities for our clients in every environment. Since 1971, we have brought innovation and expertise to our partnership with the institutions, financial advisors and millions of individual investors who entrust us with their assets. We aspire to cultivate performance and leadership through empowering our people, diversity of thought, and a commitment to an inclusive culture that engages in our global communities. Position Description:
Pacific Investment Management Company LLC (PIMCO) seeks a VP, Quantitative Research Analyst for its Newport Beach, CA location. Job ID 31304
Duties: Implement quantitative strategies of different assets to ensure optimal performance of portfolio rebalancing and trade execution. Conduct research and develop understanding of quantitative strategies, including profit drivers under different market conditions, and provide insights to portfolio managers and clients regarding market conditions. Design, develop, implement, and analyze various portfolio back-tests and attribution models with advanced statistical tools such as MATLAB and/or SAS together with Python and SQL programming language. Work closely with quantitative analysts and portfolio managers to implement, deploy and support strategy model development. Productionize research models to generate trade orders for execution on a daily basis. Demonstrate thorough understanding PIMCO's Common Model Execution Framework and contribute to its development. Troubleshoot data and/or software issues and implement fixes in a timely manner. Work with Data Teams to onboard required data on PIMCO's core data services platform. Actively participate in design and review sessions with stakeholders, project managers, and developers. Design and implement user interface for portfolio manager to override strategy parameters or generate ad-hoc trades. Design and implement the trade reconciliation process to ensure the execution aligns with strategy goals. Develop statistical models to analyze time-series, and test the robustness and limits of existing models. Evaluate and document the model implementation and limitations to exogenous models as well as the model's empirical performance, and make recommendations for changes/enhancements to models. Develop and validate quantitative models for various fixed income products including rates and emerging markets, by reviewing the underlying models including assumptions, theory and empirical evidence. Work closely with portfolio managers, account managers and risk managers to ensure the models meet the needs of those organizational end-users. Demonstrate a deep understanding of fixed-income markets including rates and emerging markets, and communicate complex theoretical concepts to investment professionals, developers and programmers. Position Requirements:
Requirements: Master's degree in Mathematics, Engineering, Financial Engineering, or related quantitative field and three (3) years of experience in the position offered or related position. Full term of experience must include: leveraging understanding of financial markets, macroeconomics, corporate finance and portfolio management to understand market conditions and investor behaviors, and their impact on portfolios; demonstrating an understanding of fixed income securities, including treasuries, treasury inflation-protected securities, swaps, swaptions, credit default swaps, corporate bonds, mortgage-backed securities, as well as valuation models and risk frameworks of these securities; analyzing quantitative strategies utilizing mathematical, statistical, optimization, and probability theories and tools, including: optimization, convex programming, stochastic process, martingale theory, Monte Carlo simulations, financial derivative theories to conduct or improve backtests; utilizing machine learning techniques including natural language processing, supervised learning, unsupervised learning and ensemble learning, deploying end-to-end machine learning pipeline into production environment, and working within Linux environment; utilizing knowledge of options, futures and other derivatives to adjust portfolio risk metrics, understand expected portfolio loss/profit under different market conditions, evaluate impacts of investment decisions, and recommend strategies that maximize performance and mitigate risk; programming in Python and R to implement quantitative strategies, and systematically executing trading logic on a daily basis using SAS, MATLAB, SQL, VBA programming language, and Git for code review process; utilizing objective oriented architecture and system design framework; conducting parallel computing, deploying research projects into production models, and working with large scale data in terabyte; communicating complex concepts to stakeholders from different backgrounds (e.g. portfolio managers, researchers, developers) through visualization and analytics.
Background check and drug screening required prior to employment. Pacific Investment Management Company LLC is an EEO/AA Employer. This position is eligible for incentives pursuant to Pacific Investment Management Company LLC's Employee Referral Program. Benefits:
PIMCO is committed to offering a comprehensive portfolio of employee benefits designed to support the health and well-being of you and your family. Benefits vary by location but may include:
- Medical, dental, and vision coverage
- Life insurance and travel coverage
- 401(k) (defined contribution) retirement savings, retirement plan, pension contribution from your first day of employment
- Work/life programs such as flexible work arrangements, parental leave and support, employee assistance plan, commuter benefits, health club discounts, and educational/CFA certification reimbursement programs
- Community involvement opportunities with The PIMCO Foundation in each PIMCO office