Quantitative Analyst - 2040508

Company: Fidelity Investments
Location: Merrimack, NH
Posted on: December 3, 2021

Job Description:

Monitors and measures portfolio risks and returns by performing quantitative analysis through security, factor, and sector levels. Maintains and improves current infrastructure in MATLAB, VBA, SQL, and Python to support investment processes by generating trading ideas using complex optimization process. Enhances statistical models for valuing and analyzing securities, using MATLAB, Python, VBB, and relational databases. Builds practical and robust quantitative models to aid aspects of portfolio construction. Collaborates with technology professionals, traders, and portfolio managers to build user-friendly interfaces to smooth portfolio monitoring and trading.

Primary Responsibilities:

Performs research on domestic and international debt issuers, using macroeconomic and quantitative analysis methods to support investment decisions aimed at maximizing risk-adjusted total return for clients.

Develops quantitative techniques, models, and tools to support and enhance the investment process used to manage client accounts for investment teams.

Maintains and improves infrastructure related to the investment process.

Builds robust quantitative tools to aid all aspects of portfolio analysis and construction.

Collaborates closely with other investment and technology professionals within the division.

Monitors, measures, and attributes portfolio risks and returns.

Refines tools for alpha generation ideas.

Responds in real time to Portfolio Manager, Trader, and Senior Management requests for ad-hoc analyses, tool updating, idea evaluation, and risk metrics.

Explains complex quantitative concepts to non-technical personnel.

Prepares plans of action for investment using financial analyses.

Interprets data on price, yield, stability, future investment-risk trends, economic influences, and other factors affecting investment programs.

Informs investment decisions by analyzing financial information to forecast business, industry, or economic conditions.

Education and Experience:

Masters degree (or foreign education equivalent) in Accounting, Economics, Finance, Statistics, Mathematics, or a closely related field and three (3) years of experience in the job offered or three (3) years of experience developing robust quantitative multi-asset investment solutions using MATLAB, Python, and VBA.

Skills and Knowledge:

Candidate must also possess:

Demonstrated Expertise (DE) creating models for utilizing security level reference and analytic attributes for fixed income securities so that factors -- interest rates, issuer spread sensitivities, and option adjusted analytics -- can be measured and used in portfolio construction; and measuring portfolio level aggregation of analytic attributes, using MATLAB, Python, SQL, and VBA.

DE creating and performing tail-risk and stress tests at predefined periods (month, quarter, and year end), using MATLAB, Python, and VBA; and measuring portfolio level risk measures -- tracking-error and drawdowns as they relate to testing for tail-risks and stress under pre-formulated scenarios -- using MATLAB, Python, and VBA.

DE building tools to aid portfolio managers in managing month-end extensions and downgrading securities and new issuances in benchmarks, using index and benchmark construction rules and the mechanics of intra-month and month-end re-balancing; measuring factors -- interest rates, issuer spread sensitivities, and option adjusted analytics -- that lead to securities being included and excluded in benchmarks (age of the security and corporate actions) and determining how the characteristics of these benchmark indices evolve over a period of time, using Bloomberg PORT or Barclays Point; and rebalancing portfolios at the end of each month, using interest rates, issuer spread sensitivities, and option adjusted analytics.

DE building tools for portfolio construction that use portfolio optimization paradigms -- mean-variance optimization from an asset allocation and security selection point of view -- using MATLAB (fmincon) and Python (glpk, PuLP, and Pyomo); and building and improving portfolio optimization paradigms models and formulating alternative objective criteria and constraints, using optimization functions within MATLAB (fmincon) and Python (glpk, PuLP, and Pyomo).

For full job details and to apply, please visit https://jobs.fidelity.com/ and search for job number: 2040508.

Keywords: Fidelity Investments, Boston , Quantitative Analyst - 2040508, Finance , Merrimack, NH, Massachusetts