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Quantitative Researcher- Portfolio Construction (CHI)

Chicago, IL
Quantitative Researcher- Portfolio Construction
 
mid-level is ideal
PhD preferred, Masters required in highly-analytical or technical field: Econ, Finance, Math, Statistics, Physics, CS, EE
With demonstrated strong CS fundamentals/experience
And strong quantitative/analytical skills
The portfolio construction team is responsible for managing the entire portfolio globally.
Pursue individual and collaborative research to generate various  factor models (especially risk) (asset class agnostic)
- Conduct quantitative research on proprietary risk factor models for equities and other asset classes for systematic strategies
- Responsible for the entire model evaluation process: factor selection/recognition, factor return estimation, covariance estimation, idiosyncratic volatility estimation etc.
- Conduct research in stress scenarios; build individual equity stress scenario evaluation models and provide full coverage for the systematic strategies
- Integrate multiple data sources in model building; utilize PCA approach to identify factors.
- Develop & test new alpha/risk factors and new data sources
- Advanced training in Statistics, Mathematics, Finance/Financial Engineering or a related field: Strong mathematical and/or statistical modeling background
- Demonstrated empirical skill; comfortable with analysis of large datasets
- Expert in R and Python
Previous experience in a quantitative role within a trading and risk modeling/management environment, especially equity research and model development.
- Demonstrated interest in or knowledge of investments, including asset pricing, empirical anomalies and market micro-structure
- Factor Research & Factor Model Development
- Risk Modeling (especially Multi-Factor Risk Models)
Additional helpful experience:
- Alternative Data
- Machine Learning / NLP
- Intellectual curiosity and passion for solving investment problems through the use of technology and fundamentals: Interest in research as well as production support
A high-impact research-focused role imbedded in an active multi region/ asset class investing team 
 

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