Quantitative Fixed Income Desk Quant

The role will work with and support the US Aggregate Bond Fund Portfolio Managers across a portfolio of US government, corporate, and asset-backed debt. Securities can include fixed and floating rate bonds, convertible bonds, warrants, and other transferable debt securities, including high yield. 60% of the work will be dedicated to multi-sector US Aggregate benchmarked strategies and 40% will be focused on High Yield projects.

Responsibilities:

• Work directly on the desk with fundamental PM's as an embedded quantitative analyst

• Develop and generate investment ideas and optimal trading strategies across credit and rates markets

• Develop dynamic fixed income sector asset allocation models

• Develop portfolio construction models

• Provide top-down macroeconomic analysis and investment selection input for the portfolio

• Prototype, run and analyze quantitative investment models for rapid decisions

• Develop portfolio risk models

• Create data visualizations for the PM's

• Analyze and interpret portfolio risk reports

Requirements:

• Must have 5+ years of fixed income investment experience with a major buy-side firm

• Must have an advanced quantitative degree (MS)

• Must have proven experience as a desk quant generating investment ideas that support multi-sector fixed income and high yield bond investment decisions

• Must have strong knowledge across all fixed income sectors

• Must have proven experience working with interest rate, portfolio construction and portfolio optimization models

• Must have top-down, macroeconomic investment analysis experience

• Must have strong statistical modeling and quantitative analysis skills

• Must be able to provide rapid analysis to PM's working in a trading room

• Must have current and strong programming skills (R, Python, SQL)

Keywords: Generate Trade ideas, Prototype Models, Tactical Allocation, Optimize Trading Strategies, Multi-Sector, High Yield, MBS, Corporate Bonds, R, Fixed Income, Real Return, portfolio construction, asset allocation, SQL, Macroeconomics

Please send resumes to Jim Geiger jeg@analyticrecruiting.com