Principal - Quantitative Global Macro Research

OMERS Capital Markets
New York - United States
S: Competitive

Scope:

OMERS
OMERS is one of Canada's leading pension funds with over $65 billion in net assets. We provide first-class pension administration and innovative products and services to almost 440,000 members. Under the OMERS Worldwide brand, our team of investment professionals uses a direct-drive, active management investment strategy to invest in public and private market assets through our offices in Toronto, Calgary, New York and London. We are committed to earning superior returns by attracting world-class investors and by building a culture of excellence. OMERS has been recognized as one of Canada's 50 Best Employers for six consecutive years.

OMERS Capital Markets
OMERS Capital Markets is a global multi-asset investor, responsible for managing a portfolio of bonds, currencies and other interest-bearing assets, as well as publicly traded equities and commodities in Canadian and global financial markets. We believe that superior proprietary research provides the insights that drive outstanding returns. We expect our investment team of about 70 to grow in size and scope over time. Our internal Alpha Strategies presently include global equity market neutral, quantitative equities, managed futures, long/short credit and interest rates, active currency and event driven.

We set the highest standards for our people and expect them to develop as world-class investors. We measure our success by what we deliver to our stakeholders and reward those who contribute to that success.

Global Tactical Asset Allocation
The GTAA Group is based in our New York City office. GTAA is a new and critical mandate for OMERS Capital Markets. This is a rare opportunity to build a global macro portfolio within a large and sophisticated asset owner and investment manager.

We are building an integrated global macro process across global equity, currency and fixed income markets. Our process is a dynamic mix of directional and relative value strategies that rely on innovative top-down quantitative models and additional research regarding the current state of the global economy. We combine multi-factor pricing models with global macro event studies and bottom-up fundamental country analysis.

Researchers in our team have the opportunity to work on a broad number of projects, including global quantitative strategies, risk management and portfolio construction. In addition to a breadth of internal resources, researchers have access to insights on the global macro and market environment that are provided by our external managers and strategic partners.

Position Overview
We are looking for a researcher at the principal level who reports directly to the Head of GTAA. The ideal candidate has a global mindset and possesses the intellectual firepower to develop insights across all aspects of modern portfolio management, including systematic signal generation, fundamental macro insights and portfolio construction.

We expect principals to be collaborative and to contribute to the refinement of existing strategies and, over time, to develop new strategies. We expect a principal to inspire the team with perseverance and perspective over a full market cycle. We value researchers who are passionate about global investing and have a keen sense of humor.

Responsibilities:

• Research signals of valuation, growth, inflation, liquidity and market sentiment. Build and maintain indicator databases, back-test strategies and run live models.
• Develop leading economic indicators both at the global and at the country level. Examine the structure of key economies and develop signals accordingly. Examine the sensitivity of the overall portfolio and its positions to changes in global liquidity and credit conditions.
• Engage in portfolio construction research, including on robust portfolio optimization and capital budgeting. Develop performance and risk monitoring tools.
• Attend meetings with quantitative strategists, economists and policy makers. Occasionally participate in country road shows in developed or emerging markets. Reflect on these meetings and produce independent analysis and tactical investment recommendations.

Qualifications:

• Investment experience. Ideally 5-10 years of relevant experience from a GTAA program or global macro hedge fund. We also welcome applicants with a background from the IMF, the Federal Reserve, the Bank of Canada and similar institutions.
• Research skills. Signal research experience in global equities, currency markets or global strategy. Multi-asset, multi-country experience would be ideal.
• Academic grounding. A PhD or Master in financial economics. An understanding of the asset pricing literature and a desire to apply these insights pragmatically to the portfolio.
• A global mindset. A global macro investor at heart.

Job summary