About the role
- Review and evaluate quantitative research outputs and systematic trading strategies focused on fixed income and interest rate markets.
- Identify research and backtesting issues, including lookahead bias, overfitting, data snooping, and unrealistic transaction cost assumptions.
- Evaluate backtesting frameworks, including rates-specific mechanics such as carry, roll-down analytics, and contract roll conventions.
- Assess the statistical rigor of signal construction, factor modeling, and alpha research.
- Review yield curve models, relative value strategies, and interest rate trading instruments.
- Validate model assumptions, implementation accuracy, and research methodologies.
- Evaluate strategies under realistic market conditions, accounting for transaction costs, liquidity constraints, and execution assumptions.
- Provide detailed written feedback with actionable recommendations to improve research quality and accuracy.
- Collaborate asynchronously with project coordinators to clarify findings and communicate technical insights.
- Contribute to improving quantitative research evaluation methodologies.
- 7+ years of experience in quantitative research, quantitative analysis, or quantitative finance.
- Strong expertise in fixed income analysis and interest rate markets.
- Advanced proficiency in Python or R for quantitative research and data analysis.
- Hands-on experience with Python libraries such as Pandas, NumPy, and SciPy.
- Strong understanding of systematic trading strategy development and backtesting.
- Experience with yield curve modeling and carry/roll-down analytics.
- Knowledge of relative value trading strategies and interest rate market instruments.
- Familiarity with SOFR and Eurodollar instruments, as well as Treasury futures.
- Strong knowledge of statistical analysis, factor modeling, and alpha research.
- Understanding of transaction costs, liquidity constraints, and realistic trading assumptions.
- Ability to identify lookahead bias, overfitting, data snooping, and other research methodology flaws.
- Excellent analytical, written communication, and problem-solving skills.
- Ability to communicate complex quantitative concepts clearly and work effectively with distributed teams.
- Experience as a Quantitative Researcher, Quantitative Analyst, or Consultant specializing in fixed income or interest rate markets.
- Experience developing and backtesting systematic rates strategies at a hedge fund, asset management firm, or investment bank.
- Strong practical knowledge of rates trading, yield curve dynamics, and quantitative modeling.
- Experience reviewing and validating quantitative models against established quantitative finance best practices.
- Demonstrated ability to assess research quality, implementation fidelity, model assumptions, and statistical robustness.