Junior Quant - MBS
The Team
Man Group is one of the world’s largest publicly listed alternative investment managers. The Systematic Securitized Credit team builds systematic trading strategies across securitized products and the fixed-income markets around them, researching markets, signals and portfolio construction to capture returns that are hard to reach and hard to replicate. AI is embedded throughout our workflow, from research to execution.
Role & Responsibilities
We are looking for a junior quantitative researcher with a background in agency mortgage-backed securities (MBS) and CMOs. You will sit with the portfolio managers and senior researchers who run the strategy, splitting your time roughly evenly between the analytics that inform live trading and your own research into new sources of return. Junior members here own research; they do not only support other people’s.
Helping senior PMs & researchers finding new & profitable trading strategies & alphas
Researching, scoping, and onboarding new securitized markets and sectors
Improving our systematic trading platform for securitized products, following markets & research
Doing novel research on trading signals, prepayment modeling, pricing, and hedging
Utilizing AI tools across all above responsibilities to make research & trading more efficient & impactful
Skills & Qualifications
A degree in a quantitative discipline — engineering, mathematics, physics, computer science or similar.
At least a year working with agency MBS: on a buy-side desk, at a dealer, or an analytics vendor.
Understanding of Agency MBS concepts: TBA, rolls, payup-ups, collateral attributes, prepayment behavior and drivers.
Strong applied statistics and programming ability: the judgement to tell a real result from noise, and the discipline to write code others can read, test and build on.
The ability to discuss and present complex ideas in an intuitive, easy to follow way
Following are plus: understanding of CMO structures (IO/PO/Floater), GSE program types, Prepayment model calibration or validation, various spreads & durations, systematic back-testing and portfolio construction.
The anticipated based salary range for this position is listed below. Compensation packages would also include benefits and a discretionary bonus. This is the base salary range that the Company believes it will pay for this position at the time of this posting based on the location and requirements of the position as well as the skills, qualifications, and experience of the applicant. The Firm reserves the right to modify this pay range at any time.
US Pay Range
$110,000—$130,000 USD