Senior Quantitative Researcher (FX / Rates), Stat-Arb

  • 200000
  • 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.

Responsibilities:

  • Alpha research, back testing and simulation, portfolio construction and portfolio optimization. 
  • Trading, managing risk, drawdown control. 
  • Collaboration with colleagues. 

Ideal candidate:

  • 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 skillsportfolio construction, optimization, and draw down control and attribution analysis. 
  • Technical SkillsR, Matlab, Python