Director Quantitative Investment Analysis, USA-NY-New York City
Director Quantitative Investment Analysis
Company:
JPMorgan
Location:
USA-NY-New York City
Remuneration:
Competitve
Position Type:
Permanent
Employment type:
Full time
Updated:
17 Nov 2009
eFC Ref no:
586206
Please see the job description
090058249
Qualifications Director Quantitative Investment AnalysisJPMorgan Global Access Portfolios Global Access Portfolios (GAP) are a suite of commingled multi-asset-class fund of funds, offered to private and tax-exempt institutional clients worldwide. The Portfolios, offered in private placement and mutual fund format, are actively managed with a clear mandate to optimize risk adjusted total return targets. The investment team also manages a series of commingled alternative investment portfolios. Through a rigorous portfolio construction process across equity, fixed income and alternative investments, the portfolios use a mix of liquid and less-liquid investments. Portfolios engage in continuous execution of tactical ideas using customized structured investments, derivative overlays and best-in-class managers - including traditional long-only managers and select diversified and single strategy hedge funds, to manage portfolio risk and achieve investment goals. This is a boutique investment offering within Wealth Management.
The candidate will report to the Chief Investment Officer and be responsible for quantitative investment analysis across the suite of Global Access Portfolios; including the development of proprietary as well as industry-standard quantitative investment tools to be used as part of the team's multi-asset investment process. The candidate must have proven quantitative and analytical abilities as well as a strong investments background. Prior asset management, risk and/or proprietary trading experience are essential.
1) Portfolio analysisDevelop and support quantitative modeling to analyze multi-asset allocation across individual securities, funds, alternatives and structured investments.Work directly with the individual GAP portfolio managers, risk manager and derivatives and structured investments head to provoke investment and due diligence discussion.Liaise with risk, due diligence and portfolio construction teams within JPMorgan on quantitative investment tools and approach to ensure best practices.Develop quantitative analysis for investment sizing; establish performance expectations for active management strategies (alpha and beta pairing) across GAP portfolios. 2) Portfolio insurance and DerivativesParticipate in developing portfolio insurance and tail risk hedging strategies across the various GAP portfolios.Provide support for analytical modeling and ongoing monitoring for the derivative investments used as risk overlays across the GAP portfolios. 3) Alternative strategiesDevelopment of the portfolio construction and alpha/beta loading for total return and alternative strategies across GAP portfolios.Liaise with due diligence within Wealth and Asset Management regarding quantitative analysis of alternative and hedge fund solutions.Create and maintain quantitative framework for alternative strategies replication and portfolio optimization.
