Quantitative Analyst – Cape Town, SA

Reporting Relation: CIO

Purpose Of Job:

Utilising existing and developing new economic, asset valuation, risk management and portfolio optimisation models.
Run various in-house index replication and quant-beta strategies.
Handling ad-hoc research projects.

Key Relations:

All members of the team, portfolios managers, fund operations and financial advisors.

Qualification & Experience:

• Relevant degree in maths/stats/computer science or related field.
• Completed or studying towards a relevant post-grad qualification.
• Minimum 3 years in a comparable financial services environment or quant research experience.

Computer Competency Requirements:

• Microsoft Office with Advanced Excel and VBA
• Excellent computer programming skills (R, Python, Matlab, or other)

Knowledge:

• Advanced knowledge of mathematics and statistics.
• Excellent computer operation and programming skills.
• Knowledge of financial markets
• Excellent written and verbal communication skills.

Kpa/ Strategic Business Deliverables:

Index replication and smart beta strategies:

• Take ownership of all in-house run index replication strategies (SA equities, SA and global property, US treasuries). This includes rebalancing, cash management and reporting.
• Become the main analyst on SA’s multi-factor equity strategy. Maintain and expand the model, cash management and reporting.
• Expand quant-beta offering.

Quant modelling:

• Work with various CAM members to maintain and expand economic and investment models.
• Work with qualified actuary to maintain and expand asset valuation and expected return models (short and long term in nature) that informs the team’s wider tactical asset allocation decisions.
• Work with qualified actuary to maintain the strategic asset allocations that underpin the investment solutions offered to clients.
• Work with qualified actuary to maintain and expand on risk management and portfolio optimisation models.
• Develop new models to value alternative assets like commodities and crypto.

Research projects:

• Work with CIO and other CAM members on research projects

Reporting:

• Assist PMs with monthly and quarterly investment reporting

General:

• Input in general investment discussions