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Portfolio Engineer - 2012734

Company: Fidelity Investments
Location: Greenwood Village, CO
Posted on: October 9, 2020

Job Description:

Identifies trading opportunities across client portfolios, and manages configuration settings across optimization platforms. Responsible for portfolio construction and trading. Develops innovative ways to manage client portfolios at scale. Leads efforts across the team to develop new approaches to evaluate portfolio quality (taxable, tax-exempt, and multi-registration accounts). Manages individual client portfolios at scale.

Primary Responsibilities:

Represents the team in projects with technology groups.

Provides prototypes, requirements, and business context and directs Associate Portfolio Engineer on different research projects.

Manages individual client portfolios maximizing after-tax performance while limiting risk-exposure to the model.

Reviews and monitors the monthly impact of principal component risk models to portfolios.

Monitors the accuracy of and seeks for opportunities to extend the Portfolio Risk Trade-off measurement for taxable portfolios.

Writes and manages Groovy-based rules on TAO platform for router, prioritization, and optimization template assignment services.

Reviews automation and optimization logic.

Manages settings universe, constraint, risk aversion parameter, and guardrail and scale management -- for optimization implementations on TAO platform.

Maintains buyable universes across products by understanding the tax, risk, and alpha impact of various mutual funds -- ETFs, and SMA options.

Develops tools for managing TAO platforms written in R and Python.

Automates the distribution of reports across the team.

Develops AI models to improve the management of individual client portfolios, using random forest, neural networks, and decision trees.

Performs backtests on various optimization settings to understand the impact on risk and taxes during business cycle environments.

Education and Experience:

Masters degree (or foreign education equivalent) in Accounting, Business Administration, Economics, Finance, Financial Mathematics, Mathematics, or a closely related field and one (1) year of experience in the job offered or one (1) year of experience performing large-scale, multi-asset class investment portfolio management in taxable account registrations using automated processes.

Skills and Knowledge:

Candidate must also possess:

Demonstrated Expertise (DE) developing Groovy based code to implement complex investment management logic -- trade benefits and quality; and performing code development and unit testing according to test-driven process, using Gitbucket, Eclipse, RShiny, Spotfire, and Tableau.

DE performing quantitative investment research -- automated portfolio optimization back testing, using R environment with Northfield optimizer and principal component risk modeling, using Oracle or Snowflake database system.

DE conducting Machine Learning (ML) research on portfolio construction topics to analyze the interrelation of risk measures -- tracking errors, factors, and asset classifications to assess their impact on optimizations and performance; and applying ML techniques -- Deep Neural Network, Random Forest, LASSO, and SVM within an R environment on Keras and Tensorflow platforms.

DE managing tax-sensitive, multi-asset class portfolios; making buy and sell decisions for mutual funds, ETFs, stocks, and bonds based on client objectives, taxation, and stakeholder needs; performing tax loss harvesting and creating tax rate spread management strategies; and determining tax-risk tradeoffs according to mathematical frameworks, including CVaR and Expected Shortfall that quantify investment risks using client utility functions.

For full job details and to apply, please visit https://jobs.fidelity.com/ and search for job number: 2012734.

Keywords: Fidelity Investments, Denver , Portfolio Engineer - 2012734, Finance , Greenwood Village, CO, Colorado


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Portfolio Engineer - 2012734
Description: Identifies trading opportunities across client portfolios, and manages configuration settings across optimization platforms. Responsible for portfolio construction and trading. Develops innovative ways (more...)
Company: Fidelity Investments
Location: Greenwood Village, CO
Posted on: 10/9/2020

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