Quantitative Researcher – Direct Indexing

The Group:

The Investment Management group is a global team guided by Morningstar’s investment principles focused on delivering great long-term investment results to help end-investors reach their financial goals.  We use our expertise in asset allocation, investment selection and portfolio construction to create world-class investment strategies leveraging the full resources of Morningstar. The group specializes in multi-asset investing, using building blocks in equities, fixed income and alternative investments to construct robust portfolios.  Through our investment offerings, we serve financial advisers and institutions, and the investors that they serve.

The Role:

As a Quantitative Researcher, Direct Indexing you will be help drive Morningstar’s research and development related to our direct indexing solution. This includes sophisticated portfolio construction methodologies that account for multiple investor objectives, such as tax alpha and ESG preferences among other factors. This position requires a person who is effective in working cross-functionally with key stakeholders across the portfolio management, product and technology. A successful candidate has excellent quantitative analytical skills, a track record for cutting-edge research, and significant experience in developing investment methodologies that generate good client outcomes.

We prefer for the position to be in our Chicago office.

Responsibilities:

• Develop sophisticated stock portfolio optimization methodologies based multi-variate objectives functions and constraints

• Perform research on advanced tax loss harvesting methodologies in a direct indexing setting.

• Conduct comprehensive back tests and simulations of direct indexing strategies and assess their efficacy based on tax-efficiency, trading cost, return and risk.

• Document direct index indexing methodologies as part of our research and methodology governance framework.

• Collaborate with technology team to turn research code into production.

• Author thought leadership research on tax loss harvesting and personalization.

Qualifications:

• 5+ years of progressive hands-on experience in quantitative research, preferably with focus in equity.

• Significant experience in statistical modelling of large data sets and solid understanding of multi-factor models, portfolio construction, optimization, backtesting and scenario analysis.

• Strong quantitative skills with solid understanding of statistics and probability (e.g. panel data analysis, time-series analysis, machine-learning).

• Proficiency in object-oriented programming language(s) (Python, Matlab, or R) and database management software (e.g., SQL).

• Outstanding oral and written communication skills, with experience producing high quality research and publications.

• Advanced degree in a quantitative field including statistics, mathematics, computer science, economics and finance; Ph.D. preferred.

Morningstar employees are required to be fully vaccinated or submit to regular testing to work in any office. Morningstar’s vaccine policy may be modified to comply with evolving legal requirements and other changing circumstances.

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If you received and accept an offer from us, we require that personal and any related investments be disclosed confidentially to our Compliance team (days vary by region). These investments will be reviewed to ensure they meet Code of Ethics requirements. If any conflicts of interest are identified, then you will be required to liquidate those holdings immediately. In addition, dependent on your department and location of work certain employee accounts must be held with an approved broker (for example all, U.S. employee accounts). If this applies and your account(s) are not with an approved broker, you will be required to move your holdings to an approved broker.