Description

Job Title:    Quantitative Research Associate

Job Location:       Berwyn, PA

Major Responsibilities: Engage in Portfolio Manager responsibilities for the PMC/QRG SMA/UMA and related products. Ensure implementation and interpretation of daily portfolio optimization results. Ensure implementation and maintenance of portfolio attribution calculations using advanced quantitative modeling methods. Maintain regular communication with clients on strategy performance. Propose and implement original methodological solutions to various quantitative finance tasks facing the firm. Use advanced optimization algorithms to create group’s first tax optimization framework. Apply Fama-French framework to evaluate the improvement of the firm’s existing risk model. Create a daily pricing algorithm, implement in MATLAB and SQL, that records and outputs the value of risk factors. Maintain and improve the firm’s GIPS-compliant daily composite calculations. Use advanced SQL and MATLAB routines to maintain and improve the daily calculations of GIPS compliant composite calculations. Maintain and improve portfolio optimization automation and rebalancing framework. Use object-oriented programming in Matlab to develop an efficient and component-based portfolio optimization code. Use mixed integer portfolio optimization to implement model portfolios. Apply factor risk models to analyze the overall US equity universe. Utilize calculus, matrix algebra, and numerical analysis skills for the purposes of designing an efficient portfolio optimization routine. Use advanced applied statistical methods to improve the factor risk analysis of individual securities. Engage in fundamental overhaul of the group’s daily external and internal data loader. Use SQL and MATLAB to perform daily data quality check and prepare cleaned data for performance analysis and portfolio optimization. Improve computational efficiency of the optimization routines and accuracy with numeric methodologies.  Telecommuting permitted.

Job Requirements: This position requires a Master’s degree, or foreign equivalent, in Mathematical Finance, Applied Finance or Financial Economics, plus two (2) years of work experience in a position related to quantitative finance such as quantitative financial analyst. Additionally, the applicant must have professional experience with: (1) Creating original methodological solutions to quantitative finance problems; (2) Matrix algebra, calculus, numerical analysis; (3) GLS, panel regression, quantile regressions, Kalman Filter, machine learning; (4) Portfolio optimization with linear and quadratic objective functions, linear and quadratic constraints, continuous and integer optimization variable types; (5) LaTeX scientific typesetting system; and SQL database language; and (6) Fama-French and associated risk factor construction and application; tracking portfolio modeling; mean-variance portfolio optimization and CAPM theories.

To apply: Visit www.envestnet.com/careers for a complete job description, job duties, job requirements, & to apply.  Refer to Req #5333.

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