Quantitative Portfolio Analyst

4 weeks ago

Toronto, Ontario, Canada CPP Investments Full time

Active Equities Portfolio Construction & Risk Team

We are seeking a highly skilled Quantitative Portfolio Analyst to join our Active Equities (AE) Portfolio Construction & Risk (PC&R) team in the Toronto office.

AE runs investment portfolios spanning different regions across the globe, including North America, Europe, Latin America and Asia. Our philosophy is to generate risk-adjusted return (alpha) based on deep fundamental research/insights, coupled with quantitative portfolio construction and active risk management.

The successful candidate will be responsible for designing and implementing quantitative short/hedging strategies, portfolio construction and risk optimization activities, across all regions. This includes overseeing AE's Hedge Overlay portfolios, as well as our Enhanced Beta program.

The Analyst will work closely with other investment professionals within AE and the PC&R team to ensure accuracy and appropriateness of portfolio risk, funding and factor related metrics. Additionally, they will contribute to strategic initiatives that impact portfolio construction and hedging, such as onboarding new portfolios, assessment of macroeconomic risks, evaluating different risk models and optimizers, portfolio composition and custom hedging/index construction strategies.

The ideal candidate will have a strong background in quantitative equity strategies, systematic portfolio construction/management and factor investing. They will be a versatile and comfortable individual with conceptualizing complex mathematical problems and solutions. Expertise and hands-on experience with factor models (Barra, Wolfe, Axioma, etc.) is considered an asset.

The successful candidate will also have experience with portfolio optimization processes, derivatives, and risk measurement. Proficient in Microsoft Office (Excel, PowerPoint, etc.) as well as Bloomberg Terminal, Databricks, SQL, VBA is required. Proven ability to work independently as well as to perform effectively in a team-oriented environment is essential.

Key Responsibilities

  • Monitor the exposure and risk decomposition of AE portfolios; provide value-add insights regarding the portfolio risk/exposure composition profiles
  • Develop comprehensive proposals/recommendations to the Managing Director as well as the regional heads to rebalance the Hedge Overlay portfolios (if/when needed) with the aim to adhere to internal guidelines
  • Stay tuned-in with the equity markets and macroeconomic trends to contextualize market-driven volatilities and short term/long term impacts on the portfolios
  • Conduct research and analyses on hedge portfolio construction and optimization based on multi factor model frameworks
  • Develop a framework around portfolio sensitivity and scenarios analysis to identify, measure and manage potential 'Out of Model' risks
  • Conduct deep research and brings best practices into assessing alternative risk models to enhance our capabilities of measuring and managing unconventional risk factors
  • Partner and work closely with the investment teams on pre-deal analysis and development of bespoke hedging strategies for High Conviction/large size investments
  • Contributes to AE portfolio exposure and risk characterization overview and provide timely updates to senior management
  • Partner with traders on execution of AE trades and provide value-add analytics around assessment of our trading strategies as well as potential borrow cost optimization
  • Interact closely with Platform Solutions team to develop/enhance quantitative tools for portfolio monitoring and advanced analytics
  • Develops technical expertise in few portfolios and act as primary point of contact for any portfolio management, hedge construction and risk optimization initiatives
  • Partners with brokers and Quant 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

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