A NY based Global Asset Manager is looking for a senior quantitative equity portfolio construction/risk manager who must have experience with both long only and long-short global equity portfolios. The firm is growing its equity assets and is adding to the equity portfolio risk team. The firm is looking for a candidate who has experience developing factor overlays and quantitative portfolio construction strategies for both long only and long-short equity portfolios. This is not a traditional risk manager role. Risk at this firm is an essential aspect of quantitative research and portfolio management.
- Identify, Assess, Measure and analyze risk, attribution, and performance across the firm’s Global Equity Portfolio’s including cash and derivative investments in US, European, and Emerging Market products.
- Must have deep experience with advanced equity risk measures: Stress Testing, Scenario Analysis, Tracking Error Volatility and VaR decomposition.
- Must have experience building Multi-Factor Models and Factor Overlays outside of the industry vendor products to identify and measure investment risk across global equity investment strategies (Axioma, Factset, Bloomberg PORT and Algorithmics).
- Must be able to bring machine learning and natural language processing skills to analyze non-numerical unstructured data to construct scenarios to better manage the portfolio risk.
- Identify, Analyze and Present portfolio risk and attribution analytics to the investment team and to external clients
- Must be able to understand and explain the drivers of P&L changes and risk exposure
- Provide insights into the risk exposures, risk concentration, and tail risk using Bloomberg risk applications
- Perform in-depth analysis to better understand portfolio performance based on exposures to risk factors
- Work directly with Portfolio Managers to provide risk analysis that will improve portfolio construction
- Use big data analytics (Python and R) to better understand sources of risk and returns
- Work with IT to develop real-time risk dashboards that can be used by PM’s and senior management
- Monitor, analyze, and communicate daily changes in the risk profile of the firm’s long only and long-short portfolios
- Provide accurate and timely risk information to both internal managers and external clients
- 10+ years of quantitative buy side equity risk management and quantitative portfolio construction experience
- Must have built factor models- factor overlays
- Must have an advanced quantitative degree (Computer Science, Math, Physics)
- Must have both long and long-short experience (hedge fund and or asset manager)
- Must have current and strong quantitative experience
- Must have multi-strategy and derivative risk experience
- Experience extracting and manipulating unstructured data and finding sources for that data
- Machine Learning and NLP skills are strongly preferred
- Must have Programming skills, [VBA Python, R]
- Superior communication skills required to work directly with PM’s
- Ability to work in a time-sensitive trading room environment
Keywords: Quantitative Equity, VaR, Factor Modeling, Portfolio Construction Stress Testing, Scenario Analysis, Tracking Error, Machine Learning, Data Scientist, Long only, Long-short, Equity Portfolio Risk
Please send resume to Jim Geiger firstname.lastname@example.org