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QUANTITATIVE ANALYST, DUMAC

Job Title: QUANTITATIVE ANALYST, DUMAC
Job Code: 2317
FLSA: E
Job Level: 00
Revised Date: 05/16/2019
Job Family: JF 28

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Occupational Summary

Quantitative Analysts are involved in all stages of the investment process from sourcing, origination, due diligence, and implementation of investment opportunities, to subsequent monitoring and portfolio management.

Work Performed

Collect fund manager holding data from different sources; integrate and consolidate the data into a 40G DUMAC internal database (using Python and MySQL) Adjust market value/notional/Net Asset Value based on instrument types (such as, derivatives, swaps, contract for difference, etc.).

Use Bloomberg Excel add in to map region, markets, and GIC sector for each underlying holdings Slice and dice the holding data by asset class, sectors, beta, geographies, and etc.

Provide investment decision reference.

Create Risk Allocation reports; decompose portfolio risk using the x sigma rho formula.

Read academic papers, run econometric regressions and analysis, create macroeconomic dashboard and monitor macroeconomic environment (including GDP, Consumption, Income, Capital Formation, Industrial outputs, Real Estates, Trade, Banking, Monetary Policy, Public Finance, and Financial Markets).

Source macro data from Bloomberg, IMF, World Bank, Financial Stability Board, and Wind Database.

Slice and dice DUMAC portfolio by asset class, region, sector, and market cap.

Analyze portfolio return attribution, holding trend, risk exposure, and alpha/beta time series.

Calculate fundamental characteristics for portfolios.

Visualize data series by Excel and Power BI, prepare slides for board meeting.

Perform Monte Carlo simulation and calculate cVaR (conditional value at risk) provide deep analysis on portfolio drawdown risk; perform scenario analysis and stress test; compare expected return & loss target with university spending and determine the most appropriate allocation.

Improve simulation models by using time series unsmoothing techniques, fat tail fitting, and copula method.

Project future asset values and cash flows for funds in illiquid alternative asset classes such as venture capital, leveraged buyouts, real estate, and natural resources.

Perform other related duties as needed.

Required Qualifications at this Level

Education/Training

Bachelor's degree in Economics, Commerce, Mathematics, Finance, Statistical Science and Engineering. Graduate degree is preferred.

Experience

Skills


The intent of this job description is to provide a representative and level of the types of duties and responsibilities that will be required of positions given this title and shall not be construed as a declaration of the total of the specific duties and responsibilities of any particular position. Employees may be directed to perform job-related tasks other than those specifically presented in this description.


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Essential Physical Job Functions

Certain jobs at Duke University and Duke University Health System may include essential job functions that require specific physical and/or mental abilities. Additional information and provision for requests for reasonable accommodation will be provided by each hiring department.