Quantitative Developer
MSCI · New York City
Performance measurement in private markets is deceptively hard to get right because the conserved flows and the observed marks it draws from are two different kinds of truth, and every return methodology is really a set of timing and classification conventions dressed up as a formula. You will implement performance as deterministic recipes over the ledger's conserved flows, with zero tolerance for the silent methodology drift that plagues most performance systems.
- Return methodologies: TWR, Modified Dietz, and money-weighted (IRR) returns implemented as pure, auditable functions over conserved cash flows.
- NAV roll-forward: period-over-period NAV decomposition that reconciles exactly to the underlying flows and marks, with no plug or balancing entry.
- Benchmark-relative returns: including proxy-filled returns for periods or assets where a direct benchmark doesn't exist.
- Gross/net computation: correct fee and carry leg selection so gross-to-net bridges are always explainable.
- Timing conventions and flow-classification rules, specified and validated against the value-neutrality property they depend on.
Agentic Development - Return methodologies are specification-heavy and numerically unforgiving, which makes them well suited to agent implementation against a precisely written spec, provided the spec itself and the golden-value regression tests are human-owned. You will write the reference test cases (including deliberately adversarial timing edge cases) that any agent-generated implementation must reproduce exactly before it ships.
- 5+ years building performance measurement systems in asset management, fund administration, or a GIPS-adjacent environment.
- Strong numerical methods background, including comfort reasoning about floating-point tolerance and where it matters versus where it doesn't.
- Production experience in a modern, type-safe language (Go, Kotlin, Scala, or similar) or Python for financial calculation engines.
- Ability to explain, precisely, the difference between TWR and IRR and when each one lies to you.
- Direct GIPS compliance or verification experience.
- Private markets performance experience specifically (as opposed to public markets only).