Marie-Curie Early Stage Researcher – Attribution Analytics Innovations recruitment

ABOUT MSCI Inc. (www.msci.com)

MSCI is a leading provider of investment decision support tools, we offer a range of products and services - including indices, portfolio risk and performance analytics, and governance tools - from a number of internationally recognized brands such as Barra, RiskMetrics, CFRA, FEA, ESG and ISS.

For further information on MSCI, please visit our web site at www.msci.com.

Project Description

There have been many approaches accepted in portfolio performance analytics in the last 40 years. Whilst this is indeed the case, in areas such as the attribution of active equity returns to allocation and selection decisions made by a portfolio manager, there are many areas in which ongoing research strives to establish new approaches and innovate in new ways. This project will seek to enhance MSCI’s portfolio performance analytics and be viewed as market leading.

Investigation into the following areas and proposals of new methodologies are a clear opportunity for research innovation.

• In Liability Driven Investment (LDI) portfolio performance is benchmarked against the current projection of liability cash flows. The performance measurement industry has little to offer where it comes to dealing with LDI attribution.

• Monetary (Money Weighted) analyses can offer an alternate to industry accepted approaches to return and attribution decomposition (Time Weighted). Whilst monetary return analyses is accepted for specific asset classes such as private equity and real estate, there is a growing interest within the performance industry and from end clients - especially asset owners - to apply monetary analyses as a replacement/supplemental view of performance results versus Time Weighted analyses.

Further Details: FP7 Marie-Curie Initial Training Network Risk Management and Risk Reporting (https://fp7.portals.mbs.ac.uk/)

Proposed Start Date: flexible, latest start in August

Duration: 12 months

Requirements:

• Completed Masters degree or / and on-going MBA / Phd studies in a quantitative field, e.g. Finance, Financial Engineering, Mathematics, Physics

• Good knowledge of financial modeling and return analysis (portfolio performance analysis, equity/fixed-income performance attribution)

• Strong numerical programming skills in Matlab (or equivalent) as well excellent skills in Excel

• Excellent analysis skills and analytical mindset

• Ability to work as a contributing member of a team as well as work independently and proactively

If you are interested in the role please send your CV along with a cover letter to kata.oroszi@msci.com.

Due to the great number of applications we receive for each of our open vacancies, we are unable to respond on an individual basis.

To all recruitment agencies: MSCI does not accept unsolicited CVs. Please do not forward CVs to any MSCI employee, location or website. MSCI is not responsible for any fees related to unsolicited CVs.

MSCI Inc. is an equal opportunity employer committed to diversifying its workforce. It is the policy of the Firm to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, religion, creed, age, sex, gender, gender identity, sexual orientation, national origin, citizenship, disability, marital and civil partnership/union status, pregnancy (including unlawful discrimination on the basis of a legally protected pregnancy/maternity leave), veteran status, or any other characteristic protected by law.