Quantitative Researcher, Macro Credit & TBA Alpha
- Generate and develop alpha signals across mortgage and structured credit markets, including Agency MBS, Non-Agency MBS, RMBS, CMBS, ABS, TBA securities, specified pools, mortgage derivatives, and credit indices.
- Conduct fundamental, quantitative, and macro-driven research to identify relative value and directional opportunities across the structured products landscape.
- Build predictive models leveraging market, economic, consumer, housing, rates, credit, and alternative data sets.
- Research drivers of mortgage prepayments, defaults, spread behavior, convexity dynamics, volatility, liquidity, funding markets, and investor positioning.
- Develop systematic frameworks to identify opportunities across mortgage basis, specified pools, TBA rolls, securitized credit spreads, and cross-asset relative value trades.
- Analyze interactions between rates, inflation, housing markets, consumer balance sheets, and credit cycles to generate investment insights.
- Evaluate and develop trading signals related to macro credit products, including CDX, investment grade and high yield credit indices, and broader securitized credit markets.
- Partner closely with Portfolio Managers and Traders to translate research into scalable investment strategies.
- Design and maintain research infrastructure, modeling tools, and analytics to support portfolio decision-making.
- Conduct rigorous backtesting, performance attribution, and risk analysis of alpha signals and investment strategies.
- 3+ years of experience in quantitative research, portfolio management, strategy development, or alpha research within mortgages, securitized products, structured credit, or macro credit investing.
- Demonstrated track record researching and generating investment ideas across MBS, ABS, RMBS, CMBS, TBA, mortgage derivatives, structured products, or credit index markets.
- Deep understanding of mortgage market structure, securitization, prepayment modeling, credit risk, spread products, and fixed income analytics.
- Experience applying advanced statistical, quantitative, machine learning, or econometric techniques to financial markets.
- Strong programming skills in Python; experience with large-scale data analysis and research workflows.
- Familiarity with portfolio construction, risk management, and alpha evaluation methodologies.
- Ability to work independently while collaborating effectively with Portfolio Managers, Traders, and senior investment professionals.
- Advanced degree preferred in a quantitative discipline such as Mathematics, Statistics, Physics, Computer Science, Engineering, Economics, or Finance.
- Multi-manager hedge funds
- Fixed income hedge funds
- Mortgage-focused asset managers
- Structured credit hedge funds
- Alternative asset managers
- Insurance asset management platforms
- Proprietary trading firms with structured products exposure
- Bank principal investing or systematic investment teams
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