Portfolio Researcher

Millennium Management LLC; Mumbai; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

Millennium Management LLC in Mumbai seeks a Portfolio Researcher to join Global Risk Management. You will develop and maintain quantitative frameworks used by portfolio managers and senior leaders, focusing on equity factor modeling, tail risk measures, and performance analytics.

The role emphasizes collaboration with technology and risk teams to productionize models, conduct research into new quantitative approaches, and support risk attribution and portfolio optimization.

Qualifications

• Degree in a quantitative major (statistics, mathematics, engineering) and 1–4 years in a quantitative role in finance, or an advanced degree in a quantitative field.
• Strong programming skills with Python (Polars and/or Pandas) or SQL; compiled languages are a plus; demonstrated GitHub repos are a plus.
• Experience in Equity Factor Risk modeling, quantitative models and portfolio analytics.
• Experience with fundamental equity factor models like MSCI/Barra, Axioma or Bloomberg is highly desirable.
• Sense of responsibility and intellectual curiosity; ability to work independently and manage ambiguity.

Responsibilities

• Factor Model and Risk Measurement: Develop and maintain robust frameworks for factor modeling and risk measurements with portfolio optimization and attribution analysis.
• Quantitative Framework Development: Assist in creating and optimizing the quantitative framework across technology, risk, portfolio, and business managers.
• Tech Collaboration: Partner with Technology to productionize models ensuring accuracy and efficiency in daily workflows.
• Research Model Development: Lead research and implementation of various quantitative models including factor models and complex risk assessments.

Skills

Python

SQL

Git/GitHub

Analytical thinking

Independent work

Education

Quantitative degree (Statistics/Math/Engineering)

Tools

Polars

Pandas

C++

Job description

Portfolio Researcher

Millennium’s Global Risk Management Department is responsible for identifying, measuring, monitoring, managing, and reporting on the risks associated with Millennium portfolios. Our Risk Management organization is designed to accommodate the overall size, nature, and complexity of the firm’s trading activities. We are looking to add an inquisitive minded Risk Modeler to join our team. You will have the opportunity to develop and maintain the quantitative frameworks used by our portfolio managers and senior management teams. You will be responsible for the framework which involves Cash Equities Factor modelling, Statistical Factor modeling, tail risk (e.g. VaR, Stress) modeling, performance analytics (e.g. Drawdowns, Sharpe), and developing optimization toolkits. If you're passionate about quantitative finance, portfolio management, and applied statistics, we'd love to hear from you.

Your primary responsibilities will encompass:

• Factor Model and Risk Measurement: Develop and maintain robust frameworks for factor modeling and risk measurements. Strong emphasis on using these models for portfolio optimization and risk and attribution analysis.
• Quantitative Framework Development: Assist in the creation and optimisation of our quantitative framework, which includes collaborating with technology, risk, portfolio, and business managers.
• Tech Collaboration: Partner with the Technology department to streamline the transition of quantitative models into production environments. The priority is to ensure accuracy and efficiency in day-to-day workflows.
• Research Model Development: Lead research into and implementation of various quantitative models, including but not confined to factor models and complex risk assessments.

Qualifications/Skills Required:

• The candidate should have a degree in a quantitative major: statistics, mathematics, engineering, and either professional experience of 1-4 years in a quantitative role in a financial organization, or an advanced degree in a quantitative field preferred.
• Strong programming skills, prior experience with Python (Polars and/or Pandas) or SQL. Proficiency in at least a compiled and statically typed language is a plus; so is demonstrated programming ability on public repositories e.g., GitHub.
• Prior experience in Equity Factor Risk modelling, quantitative models and portfolio analytics.
• Experience using fundamental equity factor models like MSCI/Barra, Axioma or Bloomberg is highly desirable.
• Sense of responsibility and integrity. Intellectual curiosity and spirit of initiative. Ability to work independently and effectively manage ambiguity.