Portfolio Researcher
Principal Responsibilities- Development of multi-asset class analytics across all MLP strategies, supporting the Office of the CIO across Enterprise-wide initiatives
- Building a multi-asset class risk and pricing analytics framework. This includes performance attribution, working with relevant asset class pricing model libraries.
- Contributions to the development of multi-asset class content generation as well as centralized visualization tools for the platform used by senior management
- Ownership in developing a quantitative framework for identifying, measuring, managing, and reporting multi-asset class analytics across the platform
- PM performance measurement and analytics to help inform management decisions
- Ownership of a multi-asset class stress-testing framework, including research on multi-asset class hedging strategies
- Capital utilization and allocation models across portfolio manager teams. Cost of liquidation measurement and management, as well as associated returns relative to constrained resources
- Post initial model development work, coordinate with relevant Technology departments to ensure changes are deployed into to production
Qualifications/Skills Required- Hands on experience developing and maintaining risk and/or derivative pricing models
- The candidate should have a graduate degree in a quantitative major: statistics, mathematics, engineering, and either professional experience of 7+ years in a quantitative role in a financial organization, or a MS in financial engineering/economics.
- Strong programming skills, prior experience with Python (Polars and/or Pandas). Proficiency in at least a compiled and statically typed language is a plus
- Knowledge of mathematical and statistical analytics tools: estimation of linear models, dimensionality reduction techniques e.g. Equity Factor Models, Principal Component Analysis, etc.
- Sense of responsibility and integrity. Intellectual curiosity and entrepreneurial mindset. Willingness to work and have fun in the process.
- Good presentation and communication skills, experience in either preparing or participating presentation for senior management-style meetings.
The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.