Quantitative FX/Derivative Portfolio Manager at MassMutual

Role: Quantitative FX/Derivative Portfolio Manager

Department: Investment Management

Team: Quantitative Portfolio Management

Location: Boston - Hybrid

Position: Full-Time (3+ days in office per week)

The Opportunity:

The Quantitative FX/Derivative Portfolio Manager will be responsible for FX hedging across the MassMutual General Investment Account. This includes performing daily portfolio management activities, such as rebalancing risk and evaluating tactical relative-value tradeoffs, while also contributing to the research of alternative hedging strategies employing simulation and back-testing techniques. The Quantitative FX/Derivative Portfolio Manager will work closely with teams across Investment Management, Barings, and Enterprise Risk.

The Team:

The Quantitative Portfolio Management (QPM) team has primary focus in asset-liability management (ALM), product pricing, and the formulation and execution of quantitative strategies that enhance policyholder surplus and mitigate unwanted risks in the portfolio. The team oversees all derivative-related aspects of MassMutual’s portfolio management process, managing exposure to interest-rates, foreign exchange rates, credit spreads, volatility, and equity. A small and highly collaborative team, QPM works with other groups across Investment Management to manage MassMutual's product portfolios and the approximately $250 billion General Investment Account (GIA). In addition, this high-profile group works with our other internal stakeholders including product, actuarial, treasury, accounting, risk, compliance, and external partners, including our primary asset management subsidiary Barings and the major Wall Street derivative broker/dealer counterparties.

The Impact:

The Quantitative FX/ Derivative Portfolio Manager will be accountable for the following:

• Responsible for daily portfolio management activities like execution of new hedges, roll of existing ones, and trade input as well as review of current risk, recent activity, attribution, profit and loss, and lifecycle of FX exposure in different portfolios

• Identify market opportunities, analyze alternative hedging strategies, propose and implement frameworks for relative value positioning, and suggest transactions, to increase hedge effectiveness for portfolio management

• Lead bespoke simulation, back-testing and/or other research projects

• Collaborate with colleagues in other areas of MassMutual as needed – enterprise risk, corporate actuarial, finance and accounting, etc.

The Minimum Qualifications

• 7+ years of derivative market experience in at least one of the following: listed and OTC equity options, TRS, futures/forwards, CDX, interest rate swaps/swaptions, and cross-currency swaps

• 7+ years of market expertise in fixed income portfolio management

• Bachelors in Math, Financial Engineering, Computer Science or related field

The Ideal Qualifications

• 10+ years of derivative market experience

• Advanced quantitative degree (MFE, PhD)

• Strong background/understanding of capital markets and financial instruments

• Strong quantitative expertise: statistics, mathematics, and computer science (python / SQL required)

• Ability to develop market views in FX and Fixed-Income

• Strong understanding of portfolio management and ALM

• Deep knowledge of derivatives in all dimensions – risk, economics, tax, accounting

• Strong background/understanding of capital markets and financial instruments

• Strong understanding of portfolio management and ALM in a life insurance company

• Strong communication skills and ability to discuss technical topics to non-experts

What to Expect as Part of MassMutual and the Team

• Regular team meetings

• Focused one-on-one meetings with your manager

• Access to mentorship opportunities

• Networking opportunities including access to Asian, Hispanic/Latinx, African American, women, LGBTQIA+, veteran and disability-focused Business Resource Groups

• Access to learning content on Degreed and other informational platforms

• Your ethics and integrity will be valued by a company with a strong and stable ethical business with industry leading pay and benefits

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MassMutual is an Equal Employment Opportunity employer Minority/Female/Sexual Orientation/Gender Identity/Individual with Disability/Protected Veteran. We welcome all persons to apply. Note: Veterans are welcome to apply, regardless of their discharge status.

If you need an accommodation to complete the application process, please contact us and share the specifics of the assistance you need.