Quantitative Strategist (Portfolio and Asset Allocation Strategy)

Company OverviewSoros Fund Management LLC (SFM) is a family office with approximately $28 billion in net assets under management. The majority of the assets are managed on behalf of the Open Society Foundations (OSF), which was founded by George Soros and is one of the largest charitable foundations in the world. OSF supports civil society groups across the world and promotes justice, human rights, democracy, education, public health, and independent media. SFM has approximately 200 employees and is headquartered in New York with offices in London, Dublin and Hong Kong. The majority of the assets are managed internally, and SFM can invest globally in a wide range of investment strategies and asset classes, including equities, credit, fixed income, macro and private equity.

Position Overview

The mandate of Portfolio Construction and Asset Allocation Strategy (PAAS) group is to lead a wide array of initiatives aimed at advancing firm’s portfolio construction and asset allocation decisions (at both the fund and PM level), as well as identifying actionable investment opportunities to further leverage SFM’s intellectual capital and unique competitive advantages.The ideal candidate is a highly analytical and creative problem-solver with excellent verbal and written communication skills, who enjoys working in a collaborative environment that also promotes individual initiative, innovation, and a smart risk-taking mindset.The role of Quantitative Strategist is to apply their quantitative expertise to solve business problems through a variety of analytical methods. The candidate will be instrumental in identifying new sources of alpha as well as maximizing the monetization of core strategies, having a measurable impact on our business.

Responsibilities

As a member of our team, you will leverage your programming, analytical reasoning, and data analysis skills to construct quantitative models that drive our success across a variety of business decisions.You will work on alpha generating strategies; tackle complex portfolio construction challenges, and contribute to development of innovative frameworks to guide asset allocation decisions.Implement quantitative trading strategies to maximize alpha capture from internal idea generation.Apply statistical and Machine Learning methods to solve complex problems.Build risk models and P&L attribution for both systematic and fundamental portfolios.Data exploration, modelling, research, and analysis to improve the fund’s overall investment process.Collaborate with PMs to help them improve portfolio construction.Maintain and improve existing codebase, ensuring robustness and efficiency.Work with Quant engineers to enhance back testing and optimisation capabilities.Stay updated with the latest quantitative research methodologies and tools.Liaise with other parts of the firm to create interactive tools.

Requirements:5-10 years of experience in a hands-on quantitative research capacity.Masters, or PhD in a technical field.Exceptional mathematical and/or statistical modelling experience.High-level coding experience in Python.Strong analytical and problem-solving skills.Effective communication skills.Must have a high degree of attention to detail, be able to multitask, complete projects in a timely manner, and work effectively in a fast-paced environment.Intellectual curiosity and desire to learn.

Key RelationshipsReports To: Head of Portfolio and Asset Allocation StrategyOther Key Relationships: Asset Class Heads, Portfolio Managers, Trading, Risk, IT

Core ValuesIn all respects, applicants need to reflect the following SFM core values:IntegrityTeamworkSmart risk-takingOwner’s MindsetHumility

Anticipated Salary Range We anticipate the base salary for this role will be in the range of $150,000 and $200,000.

In addition to a base salary, the successful candidate will also be eligible to receive a discretionary year-end bonus.