Associate/AVP, Portfolio Manager - Cross Asset, Portfolio Engineering and Solutions
Core
Design, build, and implement systematic models and portfolio solutions to increase the convexity and robustness of the total portfolio using multi-asset strategies.
Role type
Associate/AVP, Cross-Asset Portfolio Manager (Quantitative)
Builds
Systematic macro alpha models, multi-asset linear models, and portfolio solutions using futures and swaps.
Domain
Sovereign Wealth Fund, Fixed Income, Currency, Multi-Asset
Deliverable
production ML models
Required skills
Quantitative and statistical modeling, Python or R coding, Fixed income and currency markets knowledge, Multi-asset market exposure, Model validation and testing, External manager relationship management
Preferred skills
Portfolio construction methodologies, External fund investment and due diligence, Fund structuring
Technologies
Python, R, Interest rate swaps, Bond futures, CDX/CDS, FX swaps, Inflation swaps, Equity index futures, Commodity futures
Responsibilities
Research and design systematic macro alpha models; Manage existing multi-asset linear models and strategies; Evaluate and propose enhancements to current models; Manage strategic relationships with external managers.
Seniority
Associate/AVP, hands-on IC