A Global Fixed Income investment manager is looking for an experienced (3+ years) quantitative buy-side portfolio investment analyst who can conduct systematic research that can help capture alpha by exploiting sub-asset inefficiencies in the fixed income markets. The portfolio invests in global credit, global high yield, and global fixed-income securities. The role is part of the fixed income quantitative research team and will focus on conducting quantitative research to develop systematic fixed income strategies for portfolio optimization, portfolio construction, risk forecasting and alpha generation.
This is a pro-active investment role where your quantitative research will be incorporated into active fixed income portfolio's management and will assist PM's in capturing risk premia and alpha to improve the performance of the portfolio. You will have daily interaction with portfolio managers on risk sizing, risk allocation, and portfolio construction.
- Conduct quantitative research to develop systematic fixed income strategies for portfolio optimization, portfolio construction, risk forecasting and alpha generation.
- Conduct systematic research that can help capture alpha by exploiting sub-asset inefficiencies in the fixed income markets.
- Help Portfolio Managers achieve superior investment returns by applying the latest academic research into systematic models
- Design, prototype, and back test R based models for alpha generation
- Perform scenario analysis and stress testing of investment portfolios
- Identify Trade ideas to the Portfolio Managers
- Experience with databases, meaningful experience with scripting languages (R, Python, Matlab)
- Must have 3+ years of working on quantitative global fixed income risk analytics for a major buy-side firm (Global Credit, Global High Yield and Global Fixed Income)
- Must have systematic quantitative fixed income investment management experience
- Must have an advanced quantitative degree
- Must have experience working with factor models and scenario risk models
- Must have a passion for creating innovative methods for exploiting fixed income market inefficiencies
- Must have asset allocation research experience
- Must have strong R and SQL programming skills
- Must have experience working with Bloomberg Port
- Must have superior communication skills and the ability to work closely with senior management, investors, operations and technology in a collegial and collaborative work culture
Keywords: Fixed Income, Risk Sizing, Systematic Fixed Income, Risk Premia, Factor models, Bloomberg Port, Shock Portfolio, Databases, SQL, Python, Risk Analytics, Portfolio Construction, Portfolio Optimization
Please send resume to Jim Geiger firstname.lastname@example.org