Senior Quantitative Researcher (FX / Rates), Stat-Arb
- New York, NY, USA
- Permanent, Full time
- NJF Search
- 18 Sep 17
Quantitative Research and Portfolio Management Target Products: Liquid Exchange Cleared Spot FX, Non Deliverable Forwards and Futures, Interest Rate Futures and Cash Bonds. Approach: Stat-Arb, Relative Value, Pairs, Nowcasting Target Book Size: Between $500m and $1bn Gross Market Value Target Portfolio Metrics: Portfolio Turnover: 10-20% Per Day, Volatility 4-6%, Sharpe 2+, Return: >8-12% on GMV
We are seeking a 'senior quantitative researcher' / 'systematic portfolio manager' for a market neutral hedge fund in New York. The position will involve a combination of quantitative research, trading and risk management within a diversified team. Our client manages $3 billion AUM and has traditionally specialized in systematic equity concentrating on stat-arb and would like to diversify into Systematic FX / Rates, Pairs Trading focusing on short term momentum and mean reversion pair trading.
- Alpha research, back testing and simulation, portfolio construction and portfolio optimization.
- Trading, managing risk, drawdown control.
- Collaboration with colleagues.
- 5+ years’ experience managing risk and conducting quantitative research in a market neutral hedge fund or family office.
- Expertise in systematic trading, ideally short term stat-arb, mid frequency long/short for FX Spot or Interest Rate Futures. The trading universe is exchange cleared linear products. (spot, cash, futures, (not options or OTC))
- Experience managing $100-$500m in GMV.
- Target Portfolio: Portfolio Turnover: 10-20% Per Day, Volatility 4-6%, Sharpe 2+, Return: >8-12% on GMV
- Target products: Liquid Exchange Cleared Spot FX, Non Deliverable Forwards and Futures, Interest Rate Futures and Cash Bonds.
- Mathematical Skills: Probability, Econometrics, Statistics
- Research skills: Forecasting, Nowcasting, Event Prediction, Back Testing, Stat-Arb/Relative Value, Pairs Trading.
- Portfolio Management skills: portfolio construction, optimization, and draw down control and attribution analysis.
- Technical Skills: R, Matlab, Python