MFS Investment Management is looking for a quantitative research analyst to join a team of portfolio managers and other quantitative research analysts within the area of multi-asset investment. The multi-asset team uses quantitative models to manage a variety of global tactical, absolute return and commodity-related investment strategies. The candidate would spend the majority of his/her time conducting research related to alpha generation, portfolio construction and risk management.
Conduct independent quantitative research to identify potential sources of alpha within and across stock, bond, currency, and commodity markets.
Develop trading and investment strategies to capture different alpha sources. Backtest the performance of these strategies, test for robustness, and compare to our existing alpha strategies.
Conduct research related to variable selection, factor construction, factor timing/weighting.
Analyze and implement a variety of portfolio construction techniques using optimization and simulation analysis in order to determine optimal methods of portfolio construction factor allocation and risk budgeting.
Document research, and present results to the rest of the Multi Asset Team.
Candidate with a CFA, MBA or Masters or higher in finance or statistics/mathematics or related area.
At least 3-5 years of experience in a tactical asset allocation research role or other role building macro level alpha models for stock, bond, currency, or commodity markets.
Well-developed quantitative skills and knowledge of statistical methods. Multivariate Regression, Hypothesis Testing, Experimentation, Linear Algebra, Numerical Techniques.
Significant experience with Portfolio theory and portfolio construction techniques, simulation and optimization.
Understanding of derivative trading strategies.
Excellent communication skills, a strong work ethic, and the ability to work in a team environment.
Massachusetts Financial Services (aka MFS Investment Management) offers more than 50 mutual funds, as well as annuities, separately managed...