Head of Quantitative Research

Fasanara Capital; New York (NY); On-site; USD 260,000 - 380,000; Full time

Benefits offered by this job

Performance bonus

Private medical & dental

Life insurance

Pension scheme

Employee assistance

Job summary

Fasanara Capital seeks a Head of Quantitative Research to lead the desk's research, manage risk, and develop a team of researchers. You will report to the partners of Fasanara Digital and collaborate with trading, PMs, and technology to scale innovative crypto strategies.

The role requires a decade in front-office quantitative roles, a strong track record lifting research teams, and expertise in arbitrage or market-making. Crypto experience is valued.

Qualifications

• Ten years of front-office quantitative research or trading experience at a leading systematic trading firm.
• Proven record of leading and developing researchers or managing a research-driven portfolio with P&L responsibility.
• Deep expertise in statistical arbitrage, mid-frequency equities, futures relative value or market-making.
• Experience with risk management for systematic strategies including limits and drawdown control.
• Empirical, rigorous approach and bias-prevention in research.

Responsibilities

• Lead the research agenda across desk including market-making and cross-asset strategies.
• Develop and deploy new strategies from hypothesis to live trading.
• Establish and enforce research standards with independent reviews.
• Oversee risk framework: sizing, exposure, and criteria to scale back.
• Mentor researchers, allocate resources, and build a rigorous culture.

Skills

Python programming

C++

Quantitative research

Risk management

Leadership / mentoring

Education

Advanced degree in mathematics/physics/statistics/computer science

Tools

Backtesting frameworks

Job description

Fasanara Capital is a boutique alternative asset manager, offering access to a range of inventive multi-asset capacity-constrained niche products. Over the past 10 years we are pursuing unorthodox portfolio construction and unconventional investment strategy is a response to today’s transformational markets.

Fasanara Digital was established 7 years ago and is the crypto arm of Fasanara Capital, a 14 year-old boutique alternative asset manager. We are a Quantitative Investment fund applying a scientific approach to investing in crypto assets. Our goal is to achieve exceptional risk-adjusted returns. We pursue a range of diversified and highly sophisticated investment strategies that seek to profit from inefficiencies in the market structure and range from market making to cross-exchanges arbitrage.

The Role

Fasanara Digital is appointing its first Head of Quantitative Research. The role holder will have three core responsibilities: to lead the desk's research, to manage the risk of the strategies that research produces, and to lead and develop the team of quantitative researchers. The Head of Quantitative Research will report to the partners running Fasanara Digital and will work closely with trading, portfolio managers, and technology.

Key responsibilities

Research Leadership

• Set and prioritise the research agenda across the desk, including market-making, carry, cross-venue and cross-asset relative value, and new strategies.
• Lead the research, development and deployment of new strategies, from initial hypothesis to live trading.
• Establish and enforce research standards, including independent review of all strategies before capital is allocated. Reviews will address look-ahead and survivorship bias, transaction-cost and fee assumptions, and the reconciliation of backtested and live performance.
• Require that every strategy entering production is supported by a documented investment case, a cost model and defined performance and risk criteria for its continuation.
• Work with the portfolio managers on signal research, portfolio construction and capital allocation.
• Direct research supporting the desk's execution and internal risk-transfer capabilities, including transaction-cost analysis, market-impact modelling and the hedging of residual risk.
• Oversee, with the technology team, the development of the desk's research infrastructure: market and order-book data, backtesting and simulation frameworks, and shared research libraries.

Risk management

• Own the risk framework for research-driven strategies, including position sizing, exposure and drawdown limits, and the criteria under which a strategy is scaled back or withdrawn.
• Monitor the live performance of all strategies against their research expectations, and investigate and act on any material deviation.
• Develop and maintain the models used to measure strategy and portfolio risk, including factor, liquidity and correlation exposures and the risks specific to crypto venues, such as margining, liquidation and venue concentration.
• Assess the risk of each new strategy before launch, including behaviour under stressed and illiquid market conditions and outside the trading hours of traditional markets.
• Work with the independent Risk function to set and review limits, and report regularly to senior management on strategy risk and performance.

Team leadership

• Lead, manage and develop the existing team of quantitative researchers, setting objectives and conducting regular performance reviews.
• Recruit additional researchers as the desk grows, and define the skills, seniority and structure of the team.
• Allocate research resources across strategies and portfolio managers in line with the desk's priorities.
• Mentor researchers in research methodology, coding practice and the transition of research into production.
• Build a culture of rigour, peer review and accountability for results.

At least ten years of experience in front-office quantitative research or trading at a leading systematic trading firm, such as a high-frequency trading or market-making firm, a multi-manager platform or a systematic hedge fund.

- A proven record of leading and developing quantitative researchers, or of managing a research-driven portfolio with direct responsibility for profit and loss.

- Deep expertise in at least one of statistical arbitrage, mid-frequency equities, futures relative value or market-making, with the breadth to evaluate research across these areas.

Demonstrable experience of risk management for systematic strategies, including setting limits, sizing positions and managing drawdowns.

A rigorous empirical approach to research, and experience building processes that prevent overfitting and backtest bias.

Advanced programming ability in Python.

Proficiency in C++ or another systems language is an advantage.

An advanced degree in mathematics, physics, statistics, computer science or a related quantitative discipline.

Nice to have

Experience of crypto derivatives, including perpetual funding, margining and liquidation mechanics.

Experience of execution research, transaction-cost analysis or central risk book modelling.

Experience of trading in continuous or extended-hours markets.

What you will get

A senior leadership position with a mandate to shape the research function and its team from the outset.

A desk with established live strategies, proprietary data across the major crypto venues and seven years of round-the-clock trading infrastructure.

Direct access to senior management and a short decision-making process.

A competitive remuneration package linked to the performance of the research function.

Our benefits include

• Performance-related Bonus Scheme
• Private Medical & Dental Insurance through Bupa (including children's cover)
• Life Insurance, Income Protection & Critical Illness Cover
• Employee Assistance Programme (EAP)
• Salary sacrifice pension with Hargreaves Lansdown (currently matched up to 10%)
• Enhanced Maternity & Paternity Leave
• Emergency Parental Leave, Emergency Childcare & Nursery Benefit
• Cycle to Work SchemeCharity Giving through CAFAnnual Wellbeing BudgetTeam socials, annual Summer & Christmas parties,and other events throughout the year