Quant Researcher: Covariance & Portfolio Risk Modeling

National Association of Women in Construction; Greenwich (CT); On-site; USD 150,000 - 230,000; Full time

Job summary

The National Association of Women in Construction in Greenwich, CT, is seeking a Quantitative Researcher to lead research on proprietary covariance and portfolio-risk models used to construct portfolios across its strategies. This investment-research role works directly with the CIO and partners and tests work in live trading.

Researchers own end-to-end research from methodology to implementation and contribute to related portfolio-construction and alpha-monetization challenges, within a small,

Qualifications

• Two to ten years of hands-on quantitative research experience in finance or related fields.
• Practice testing covariance, volatility, or portfolio-risk estimates and their impact on position sizing or portfolio construction.
• PhD in a quantitative field is required.

Responsibilities

• Develop and improve methods for estimating covariance/coherence/volatility across futures and equity universes.
• Establish baselines and compare methods using predicted vs realized portfolio volatility and effect on portfolio behavior.
• Measure how covariance estimates affect position sizes, diversification, concentration, and turnover.
• Own the research code, tests, diagnostics, and model recommendations, from implementation to results.

Skills

Multivariate statistics

Time-series estimation

Numerical linear algebra

Python programming

Education

PhD in statistics / math / physics / EE / econometrics

Tools

Python

MATLAB

C++

Job description

The National Association of Women in Construction in Greenwich, CT, is seeking a Quantitative Researcher to lead research on proprietary covariance and portfolio-risk models used to construct portfolios across its strategies. This investment-research role works directly with the CIO and partners and tests work in live trading.

Researchers own end-to-end research from methodology to implementation and contribute to related portfolio-construction and alpha-monetization challenges, within a small,