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The role will also be the lead performance analyst for Performance Measurement and Attribution – however there will also be a junior performance analyst within the team.
The role will focus heavily on producing investment risk analysis for the key Investment process committees and for Investment Managers - advising Investment Managers on relative risk exposure and control.
The Investment Risk Specialist will maintain the BarraOne model to capture fund level constituents of all researched Bond, Property and Infrastructure funds and Structured Products.
A quantitative skill set - develop/improve risk modelling capabilities and stress testing methodologies using the risk model.
Support and extend the drawdown simulations (currently bespoke software with an Excel front-end)
The Performance measurement element of the role is to take responsibility for the performance capabilities and strategy – to design and improve reporting capabilities of performance measurement, in conjunction with IT.
Key source of advice on performance measurement and attribution issues.
Mentor a more junior performance analyst, working with this team member to produce/audit attribution analysis of the performance of the Research portfolios.
Extensive Investment Risk / Portfolio Risk experience with current and very strong experience of using the BarraOne multi-asset risk model on multi-asset portfolios is essential.
Quantitative skill set.
Extensive knowledge and experience of statistical methodologies used in performance analysis.
Strong background in the statistical methodologies used in risk measurement.
Thorough understanding of Global Investment Performance Standards (GIPS).
Excel – advanced.
Understanding of financial instruments.
Market information systems (e.g. Reuters, Bloomberg, DataStream).
Ability to work as part of a team but also take responsibility for own work.
Professional attitude to work, demonstrating integrity.