Senior Quantitative Portfolio Engineer

Position Description: 

Implements quantitative portfolio management for retirement managed accounts and non-discretionary model portfolios. Contributes to all aspects of the investment process using quantitative investment methodology. Works closely with portfolio management, quantitative research, platform, and technology teams. 

Primary Responsibilities: 

• Collaborates with Portfolio Managers, formulates investment strategies, makes trading recommendations, configures optimization platform inputs for desired trades, constructs model portfolios, evaluates portfolio characteristics, and supervises trading processes. 

• Constructs and manages multi-asset class fund of fund portfolios for more than one million customer accounts.  

• Implements quantitative portfolio management for retirement managed accounts and non-discretionary model portfolios.  

• Provides investment thought leadership and leads complex quantitative analysis projects with the broader investment team aimed at improving the investment methodology and client outcomes.  

• Develops processes to facilitate ongoing oversight across millions of portfolios.  

• Communicates performance, attribution, risk, and rebalance metrics to ensure alignment with the Portfolio Managers investment thesis.  

• Leads the investment architecture and designs of scalable enhancements to our model management platform and systematic processes.  

• Provides business context, prototypes, requirements, and roadmap prioritization.  

• Develops hypothetical portfolios and ad-hoc analysis for prospective plan sponsors and financial advisors. 

• Enhances existing investment and operational processes (portfolio reallocations and client on-boarding). 

• Performs white-glove transition management to seamlessly onboard clients. 

• Developing tax-aware personalized multi-account portfolio optimization methodologies for managed clients’ retirement goals. 

• Presenting investment views and analytical recommendations to portfolio managers and senior investment management. 

• Constructing hypothetical model portfolios for prospective clients that are customized to their specific financial situations. 

Education and Experience: 

Master's degree (or foreign education equivalent) in Business Economics, Economics, Mathematics, Finance, Quantitative Finance or a closely related field and three (3) years of experience as a Senior Quantitative Portfolio Engineer (or closely related occupation) performing portfolio management, quantitative investment research, systems architecture, and quantitative platform development within a retirement managed account investment environment. 

Skills and Knowledge: 

Candidate must also possess: 

• Demonstrated Expertise (“DE”) performing portfolio management activities for multi-asset class fund of fund managed account portfolios, using quantitative security selection and portfolio optimization methodologies with a fundamental investment overlay, evaluating portfolio characteristics, formulating trading strategies, and configuring optimization inputs using R, Python, and SQL programming languages. 

• DE designing, developing, and testing high-volume, multi-asset class fund of fund portfolio management applications incorporating quantitative risk models, portfolio optimization, investment oversight capabilities and data visualization tools, using R, Python, SQL, shell scripting programming languages, and AWS Cloud services. 

• DE researching regression-based factor exposure models and Machine Learning (ML) algorithms for fund selection and risk management using R and Python; researching mean-variance multi-asset class fund portfolio construction methodologies, using custom Java hierarchical optimizer framework; and developing tax-aware personalized multi-account portfolio optimization methodologies for managed clients’ retirement goals using simulation-based mean-variance optimization frameworks in R and Python. 

• DE analyzing portfolio performance, positioning, attribution, and risk exposures for multi-asset class managed accounts portfolios using investment tools SQL, Python, R, and VBA programming languages; and constructing customized, hypothetical model portfolios for prospective clients using R, Python, SQL, and custom Java hierarchical optimizer frameworks. 

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