Portfolio Engineer - 2033930

Company: Fidelity Investments
Location: Greenwood Village, CO
Posted on: September 3, 2021

Job Description:

Employs investment expertise, quantitative techniques, and technology to scale investment processes across nontaxable and tax qualified portfolios -- single and multi-asset class strategies, investing in a range of securities (stocks, bonds, ETFs, mutual funds, and separately managed accounts). Develops Groovy-based code to implement investment management logic -- trade benefits and quality. Performs code development and unit testing according to Test Driven Development (TDD) processes, using Gitbucket, Eclipse, RShiny, Spotfire, and Tableau.

Primary Responsibilities:

Manages individual client portfolios and portfolio characteristics -- understanding factor and risk model exposures, performs cross-sectional and time-series analysis to improve investment outcomes, and builds processes to facilitate ongoing oversight across data points.

Performs portfolio construction and trading.

Develops innovative ways to manage client portfolios at scale -- maximizing after-tax performance while limiting risk-exposure to the model.

Leads efforts across the team to develop new approaches to evaluate portfolio quality -- taxable, tax-exempt, and multi-registration accounts.

Identifies trading opportunities across client portfolios, and manages configuration settings across the optimization platform.

Represents the team in projects with technology groups -- provides prototypes, requirements, and business context.

Manages and directs Associate Portfolio Engineer on research projects.

Manages separately managed accounts (SMAs) as part of overlay portfolios and controls cash flows and identify opportunities to transfer securities between the portfolios.

Calculates and evaluates portfolio risk, including PCA analysis and factor analysis.

Manages and analyzes large data sets of account information for over a million accounts.

Automates the distribution of reports across the team.

Provides insight into financial process improvements for advanced trading strategies and liaises with technical teams for issue resolution.

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

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

Education and Experience:

Masters degree (or foreign education equivalent) in Accounting, Economics, Finance, Financial Mathematics, Computational Finance and Risk Management, Mathematics, or a closely related field and one (1) year of experience in the job offered or one (1) years of experience performing quantitative analytics and risk evaluation of multi-asset class investment portfolios.

Skills and Knowledge:

Candidate must also possess:

Demonstrated Expertise (DE) developing Groovy-based code to reflect complex investment management logic; developing robust analytics and scripts to facilitate investment oversight for quality and accuracy of portfolios, using R, Snowflake, SQL (Microsoft SQL Server and Oracle SQL), Bloomberg, RShiny, and Python for test-driven processes with unit-testing and code review.

DE measuring, analyzing, and interpreting risk characteristics of client portfolios, using multi-factor Principal Component Analysis (PCA) and Factor Analysis approaches; identifying portfolio risk trade-off, market and liquidity risk impacts, tracking error, value-at-risk model (VaR), and expected shortfall (CVaR); and identifying interrelationships of asset classes across U.S. and international equity, fixed income, and alternative investments.

DE managing retirement and taxable multi-asset class investment portfolios comprised of mutual funds, ETFs, stocks, and bonds, using portfolio optimization, asset management theory, and financial data modeling and analysis to make buy and sell decisions, factoring tax impact and fund flows across 1 million+ portfolios.

DE designing, building, and managing portfolio management processes according to optimization techniques -- linear, nonlinear, and quadratic optimization techniques -- using computational applications (Northfield, Axioma, and Cplex); and performing back-testing and scenario analysis to ensure accuracy of developed models and optimization results.

For full details and to apply, please visit https://jobs.fidelity.com/ and search for job number: 2033930.

Keywords: Fidelity Investments, Denver , Portfolio Engineer - 2033930, Finance , Greenwood Village, CO, Colorado