a) The relationship between asset covariance, CAPM, and multiple factor modeling in estimating portfolio risk.
b) The estimation statistics that underlie multiple factor equity risk models, specifically the Barra US Equity Model and Global Equity Model.
A thorough understanding of portfolio optimization using the Markowitz portfolio selection method, including:
a) Trade-offs between benchmark-relative risk, taxes, and transaction costs, subject to constraints.
b) Linear programming concepts used to solve the optimization problem.
A high degree of familiarity with equity indexes, their market coverage, and their construction methodology.
A high degree of familiarity with equity market microstructure.
Command of Parametric’s portfolio management processes, including data management, order management, channel management, and reporting.
Command of Parametric and third-party portfolio management systems and tools.
PRIMARY RESPONSIBILITIES
Construct optimized equity index portfolios for separate accounts
Rebalance and transition portfolios to maximize tax-efficiency
Construct custom benchmark data
Monitor index changes and corporate actions
Generate after-tax return data for both portfolios and benchmarks
Performance attribution
Generate client reports, respond to client requests for analysis
Interact across teams including Technology, Research, Marketing, Customer Service, Operations
Participate in process improvement and technology development efforts.
JOB REQUIREMENTS
Bachelor’s (4yr) degree w/ concentration in finance, accounting, engineering or related quantitative focus
CFA and/or MBA strongly preferred
5+ years professional experience in investment management or similar, inclusive of at least two years of experience in quantitative equity management
Programming skills a plus, including VBA and Matlab
Strong mathematical and analytical skills
Familiarity with academic financial theory and applications
Working knowledge of equity risk models and portfolio optimizer
Analytical writing abilIty
Parametric believes each member of our organization makes a significant contribution to our success. That contribution should not be limited by the assigned responsibilities. Therefore, this job description is designed to outline primary duties and qualifications. It is our expectation that every member of our team will offer his/her/their services wherever and whenever necessary to ensure the success of our client services.
WHAT YOU CAN EXPECT FROM MORGAN STANLEY
At Morgan Stanley, we raise, manage and allocate capital for our clients – helping them reach their goals. We do it in a way that’s differentiated – and we’ve done that for 90 years. Our values - putting clients first, doing the right thing, leading with exceptional ideas, committing to diversity and inclusion, and giving back - aren’t just beliefs, they guide the decisions we make every day to do what's best for our clients, communities and more than 80,000 employees in 1,200 offices across 42 countries. At Morgan Stanley, you’ll find an opportunity to work alongside the best and the brightest, in an environment where you are supported and empowered. Our teams are relentless collaborators and creative thinkers, fueled by their diverse backgrounds and experiences. We are proud to support our employees and their families at every point along their work-life journey, offering some of the most attractive and comprehensive employee benefits and perks in the industry. There’s also ample opportunity to move about the business for those who show passion and grit in their work.
To learn more about our offices across the globe, please copy and paste https://www.morganstanley.com/about-us/global-offices into your browser.
Salary range for the position: $115,000 - $225,000/Yr. The successful candidate may be eligible for an annual discretionary incentive compensation award. The successful candidate may be eligible to participate in the relevant business unit's incentive compensation plan, which also may include a discretionary bonus component. Morgan Stanley offers a full spectrum of benefits, including Medical, Prescription Drug, Dental, Vision, Health Savings Account, Dependent Day Care Savings Account, Life Insurance, Disability and Other Insurance Plans, Paid Time Off (including Sick Leave consistent with state and local law, Parental Leave and 20 Vacation Days annually), 10 Paid Holidays, 401(k), and Short/Long Term Disability, in addition to other special perks reserved for our employees. Please visit mybenefits.morganstanley.com to learn more about our benefit offerings.
Expected base pay rates for the role will be between $115,000 and $225,000 per year at the commencement of employment. However, base pay if hired will be determined on an individualized basis and is only part of the total compensation package, which, depending on the position, may also include commission earnings, incentive compensation, discretionary bonuses, other short and long-term incentive packages, and other Morgan Stanley sponsored benefit programs.
Morgan Stanley is an equal opportunity employer committed to building and maintaining a workforce that is diverse in experience and background. Our recruiting efforts reflect our strong commitment to a culture of inclusion, where individuals are hired, developed, and advanced based on their skills and talents.
Our workforce reflects a broad cross-section of the global communities in which we operate, bringing a variety of backgrounds, talents, perspectives, and experiences.
For more information, please visit: https://www.morganstanley.com/people-opportunities/eeo.
