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.
Represents the team in projects with technology groups.
Provides prototypes, requirements, and business context and
directs Associate Portfolio Engineer on different research
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
Writes and manages Groovy-based rules on TAO platform for
router, prioritization, and optimization template assignment
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
Develops tools for managing TAO platforms written in R and
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
Performs backtests on various optimization settings to
understand the impact on risk and taxes during business cycle
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
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,
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.