ABOUT MORGAN STANLEY
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, wealth management and investment management services. With offices in more than 41 countries, the Firm's employees serve clients worldwide including corporations, governments, institutions, and individuals. For further information about Morgan Stanley, please visit www.morganstanley.com.
ABOUT PARAMETRIC
Parametric is part of Morgan Stanley Investment Management, the asset management division of Morgan Stanley. We partner with advisors, institutions, and consultants to build portfolios focused on what's important to them and their clients. A leader in custom solutions for more than 30 years, we help investors access efficient market exposures, solve implementation challenges, and design multi-asset portfolios that respond to their evolving needs. We also offer systematic alpha and alternative strategies to complement clients' core holdings.
This role is part of Parametric's hybrid working model, which requires working in the office 3 days a week and remotely the remaining days of the week.
ABOUT THE ROLE
A Portfolio Manager is an expert in the framework underlying Parametric’s quantitative equity portfolio construction. This expertise distinguishes the Portfolio Manager from the Associate Portfolio Manager and includes:
A thorough understanding of equity multiple factor modeling, including: a) The relationship between asset covariance, CAPM, and multiple factor modeling in estimating portfolio risk.
b) The estimation statistics that underlie multiple factor equity risk models, specifically the Barra US Equity Model and Global Equity Model.
A thorough understanding of portfolio optimization using the Markowitz portfolio selection method, including: a) Trade-offs between benchmark-relative risk, taxes, and transaction costs, subject to constraints.
b) Linear programming concepts used to solve the optimization problem.
A high degree of familiarity with equity indexes, their market coverage, and their construction methodology.
A high degree of familiarity with equity market microstructure.
Command of Parametric’s portfolio management processes, including data management, order management, channel management, and reporting.
Command of Parametric and third-party portfolio management systems and tools.
PRIMARY RESPONSIBILITIES
Construct optimized equity index portfolios for separate accounts
Rebalance and transition portfolios to maximize tax-efficiency
Construct custom benchmark data
Monitor index changes and corporate actions
Generate after-tax return data for both portfolios and benchmarks
Performance attribution
Generate client reports, respond to client requests for analysis
Interact across teams including Technology, Research, Marketing, Customer Service, Operations
Participate in process improvement and technology development efforts.
JOB REQUIREMENTS
Bachelor’s (4yr) degree w/ concentration in finance, accounting, engineering or related quantitative focus
CFA and/or MBA strongly preferred
5+ years professional experience in investment management or similar, inclusive of at least two years of experience in quantitative equity management
Programming skills a plus, including VBA and Matlab
Strong mathematical and analytical skills
Familiarity with academic financial theory and applications
Working knowledge of equity risk models and portfolio optimizer
Analytical writing abilIty
Parametric believes each member of our organization makes a significant contribution to our success. That contribution should not be limited by the assigned responsibilities. Therefore, this job description is designed to outline primary duties and qualifications. It is our expectation that every member of our team will offer his/her/their services wherever and whenever necessary to ensure the success of our client services.
WHAT YOU CAN EXPECT FROM MORGAN STANLEY:
At Morgan Stanley, we raise, manage and allocate…