Portfolio Risk Analyst

1 month ago

Toronto, Ontario, Canada CPP Investments Full time

Company Overview

Make a significant impact at a leading global investment organization

At CPP Investments, you become part of one of the most esteemed and rapidly expanding institutional investors worldwide. With assets under management exceeding $500 billion, CPP Investments is dedicated to professionally managing the funds of the Canada Pension Plan (CPP) to ensure long-term sustainability. The CPP Fund is anticipated to reach $3 trillion by 2050. Our investment strategy encompasses all major asset classes, including public equity, private equity, real estate, infrastructure, and fixed-income instruments, with our headquarters located in Toronto and offices across major global cities.

CPP Investments seeks to attract and select high-caliber individuals from top-tier institutions globally. You can expect:

  • A diverse and inspiring team with approachable leadership
  • Engaging work in a fast-paced, intellectually stimulating environment
  • Accelerated exposure and responsibility
  • Opportunities for global career development
  • Daily motivation from CPP Investments' significant social purpose and unwavering principles
  • A flexible/hybrid work environment that combines in-office collaboration with remote work
  • A deeply ingrained culture of Integrity, Partnership, and High Performance

If you are passionate about performance, value a collaborative culture, and approach your work with the utmost integrity, this is an opportunity to advance your career at CPP Investments.

Position Overview

We are currently seeking an Analyst to become part of the Active Equities (AE) Portfolio Construction & Risk (PC&R) team in our Toronto office.

The AE team manages investment portfolios across various global regions, including North America, Europe, Latin America, and Asia. Our philosophy focuses on generating risk-adjusted returns (alpha) through in-depth fundamental research and quantitative portfolio construction, along with active risk management. Our investment strategies include Long/Short and market-neutral approaches, designed to outperform based on our long-term investment theses and unique alpha insights while mitigating unwanted systematic risk.

Within AE, the PC&R team is tasked with designing and executing quantitative short/hedging strategies, portfolio construction, and risk optimization across all regions. We oversee AE's Hedge Overlay portfolios and our Enhanced Beta program. The team also engages in strategy characterization, capital and collateral management, and collaborates closely with various groups across the Fund, particularly Total Fund Management (TFM) and the Office of the Chief Investment Officer (OCIO).

Reporting to the Managing Director, the Analyst will play a pivotal role in the PC&R team, collaborating closely with other investment professionals within AE and the PC&R team. You will ensure the accuracy and appropriateness of portfolio risk, funding, and factor-related metrics. Additionally, you will contribute to strategic initiatives impacting portfolio construction and hedging, such as onboarding new portfolios, assessing macroeconomic risks, evaluating different risk models and optimizers, and developing portfolio composition and custom hedging/index construction strategies.

You will also work with various groups across the Fund, coordinating with: our Trading and Financing desks on trade execution and borrow costs; Investment Risk on risk monitoring and measurement; TFM and OCIO on AE portfolio characterization; Platform Solutions on tool development and systemization; and Middle Office on P&L measurement and reporting.

Key Responsibilities

  • Monitor exposure and risk decomposition of AE portfolios, providing valuable insights regarding portfolio risk/exposure composition profiles.
  • Develop comprehensive proposals/recommendations for the Managing Director and regional heads to rebalance Hedge Overlay portfolios as necessary, adhering to internal guidelines.
  • Stay informed about equity markets and macroeconomic trends to contextualize market-driven volatilities and their short-term/long-term impacts on portfolios.
  • Conduct research and analyses on hedge portfolio construction and optimization using multi-factor model frameworks.
  • Create a framework for portfolio sensitivity and scenario analysis to identify, measure, and manage potential 'Out of Model' risks.
  • Conduct thorough research and integrate best practices in assessing alternative risk models to enhance our capabilities in measuring and managing unconventional risk factors.
  • Collaborate closely with investment teams on pre-deal analysis and the development of tailored hedging strategies for high-conviction or large-size investments.
  • Contribute to AE portfolio exposure and risk characterization overview, providing timely updates to senior management.
  • Partner with traders on executing AE trades and offer analytical insights into our trading strategies and potential borrow cost optimization.
  • Work closely with the Platform Solutions team to develop and enhance quantitative tools for portfolio monitoring and advanced analytics.
  • Develop technical expertise in select portfolios and serve as the primary contact for portfolio management, hedge construction, and risk optimization initiatives.
  • Collaborate with brokers and quantitative sell-side desks to construct, analyze, and manage custom indices as alternative hedging strategies.
  • Partner with colleagues within and outside AE on ad hoc and strategic initiatives.

Qualifications

  • Undergraduate or graduate degree in business, mathematics, engineering, economics, finance, or a related field.
  • 2+ years of relevant work experience.
  • Experience in a hedge fund, asset manager, or similar environment is advantageous.
  • Familiarity with quantitative equity strategies, systematic portfolio construction/management, and factor investing is a plus.
  • Progress towards CFA or FRM designations is considered an asset.
  • Comfortable conceptualizing complex mathematical problems and solutions.
  • Expertise and hands-on experience with factor models (Barra, Wolfe, Axioma, etc.) is a plus.
  • Experience with portfolio optimization processes, derivatives, and risk measurement.
  • Programming skills for quantitative portfolio management activities (Python) are advantageous.
  • Proficient in Microsoft Office (Excel, PowerPoint, etc.), Bloomberg Terminal, Databricks, SQL, and VBA.
  • Proven ability to work independently and effectively in a team-oriented environment.
  • Ability to thrive in a fast-paced environment with multiple projects and initiatives.
  • Strong attention to detail and accuracy while meeting deadlines and working under pressure.
  • Self-motivated, flexible, and adaptable.
  • Passionate about equity markets, investments, and portfolio management.
  • Excellent verbal and written communication skills.
  • Strong interpersonal and relationship-building skills.
  • Exemplifies our Guiding Principles of Integrity, Partnership, and High Performance.

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