Job Purpose:
- The Head of Quantitative Research is responsible for the research, development, implementation, and monitoring of the firm’s Principles-Based Investing (“PBI”)indexes. In addition to developing new strategies and supporting new product development, the Head of Quantitative Research leads the firm’s quarterly and semi-annual index rebalances
- The role also entails significant client support including reporting, performance attribution, and quarterly webinars.
Your Responsibilities:
Research
- Develop, review, enhance, and oversee the implementation of systematic principles-based investment processes
- Conduct empirical research to identify, measure, and forecast relationships between economic variables or investment attributes and market returns
- Identify optimal ways to combine and weight investment signals
- Employ optimization and portfolio construction techniques to best express principles in portfolios while managing risks and mitigating turnover and transaction costs
- Build and enhance Vident’s proprietary strategy back-testing infrastructure
- Guide (or sometimes support) new strategy and index development projects
- Work with other research teams and members on research quality assurance
- Review industry literature to keep abreast of the latest research developments in security selection, portfolio construction and optimization.
Portfolio Management
- Lead and conduct semi-annual and quarterly portfolio rebalances. Download and import new market data and incorporate them into Vident’s index construction models
- Conduct rebalances in careful alignment with the index methodologies
- Present newly rebalanced portfolios to the Vident Index Policy Committee (VIPC) in clear and succinct fashion, alerting members to any risks or changes in portfolio attributes and constituents
- Write code to enhance, streamline and automate rebalance processes
- Conduct post-trade analysis to understand portfolio implementation costs and guide future portfolio implementation strategies
- Collect, process, and distribute portfolio and benchmark data for quarterly fact sheets, webinars, investor packets, marketing presentations, and the Vident websites
- Write code to automate and streamline data processing and calculations
- Prepare market and investment performance commentaries
- Develop, write, and maintain portfolio attribution programs to understand performance drivers and potential risk factors impacting portfolios
- Conduct internal performance attributions on weekly, monthly, quarterly and as needed basis
- Develop and integrate additional quantitative tools to innovate the research and monitoring processes
Client Relations & Marketing
- Research, model, and forecast probability of success for the Vident funds and contrast with other public funds
- Provide index performance attribution commentary for external advisors
- Write investment blog materials as needed
- Speak on quarterly conference calls and webinars regarding Vident indexes
- Support the generation of fund-focused client marketing and webinar materials
- Prepare Vident indexes rebalance commentary to share on the Vident websites
- Support Vident Investment Advisors (VIA) and Business Development
- Advise and support VIA portfolio managers related to Vident indexes implementation and rebalancing strategies
- Advise on and/or assist with innovative external client index strategies
- Participate in calls on potential new Vident business relationships and opportunities
Skills and Qualifications:
- Expertise in empirical investment research and quantitative portfolio management
- Experience with index management and development preferred
- Proficient programmer in MATLAB
- Experience with VBA, R and C-Based programming languages preferred
- Expert Excel user and strong Microsoft Office skills
- Experienced with Bloomberg and FactSet (both client and programming interfaces)
- Experience with the Northfield optimizer and risk model or comparable platform preferred
- 5-10 years experience
- Master’s degree or higher in Financial Engineering preferred or comparable field
- Bachelor’s Degree in Commerce, Business, Finance or Economics preferred or supporting fields such as Statistics, Econometrics, Operations Research, Applied Mathematics or STEM
- Chartered Financial Analyst preferred.
Please forward applications to oliver@jobsinetfs.com