Quantitative Researcher, Portfolio Research

Role

The portfolio researcher role involves:

• Quantitative portfolio optimization
• Quantitative risk control and risk factor research
• Analysis and research on transaction costs and market impact
• Build consolidated forecasts from individual signals

Responsibilities: 

• Conduct alpha, risk, and transaction cost research
• Monitor portfolio performance and identify opportunities for alpha research and risk control
• Work with engineers to build portfolio simulation and analysis tools

Requirements:

• 3-10 years of experience with mid-frequency trading
• Deep understanding of portfolio optimization techniques, including:
  • Mean-variance optimization
  • Risk budgeting
  • Transaction cost models
  • Factor-neutral or dollar-neutral construction
• Demonstrated ability to maintain alpha decay discipline
• Deep intuition for portfolio-level risks: exposure to style/factor risk (e.g., momentum, value), sector risk, macro risk, and understanding of:
  • Real-time risk monitoring
  • Drawdown control and stop-loss frameworks
  • Scenario analysis / stress testing
• Strong grasp of data engineering and research infrastructure—can work with our quant researchers and developers
• Commitment to the highest ethical standards