Quantitative Researcher, Macro Credit & TBA Alpha

Quantitative Researcher, Macro Credit & TBA Alpha We are partnering with a leading investment platform seeking a Quantitative Researcher to drive alpha research across the mortgage and structured credit universe. This individual will be responsible for developing and implementing systematic and discretionary research initiatives spanning agency and non-agency MBS, ABS, RMBS, CMBS, TBA markets, mortgage derivatives, and broader macro credit products including CDX and related indices. The role sits within a highly collaborative investment team and offers significant autonomy, ownership of research ideas, and direct impact on portfolio construction and capital allocation. Responsibilities 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. Requirements 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. Preferred Background We are particularly interested in candidates currently performing alpha research or investment strategy development at: 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 Strong candidates may come from mortgage relative value, securitized products, structured credit, macro credit, credit relative value, mortgage basis, or cross-asset research backgrounds and will have experience developing investment signals that directly influence portfolio positioning and risk-taking. #J-18808-Ljbffr Selby Jennings