Profile assessment: fixed income trader who wants to learn more advanced math

[Aleph_Zero]

If this is the wrong place to post this I apologize but I can't seem to get a good feel for where my profile fits in world of quant finance.

First for the bad (?) news: I received an undergraduate GPA of 3.4 in Economics with a minor in Math from Cal Poly SLO in 2011 and recently took the GRE on which I received a score of V:162 Q:164.

The good news: I have 5 years of experience as a fixed income trader (mostly short duration IG credit, Treasuries, and CP) at a large money manager (>$100B AUM). I am personally responsible for managing a $7B short duration portfolio. I also received my CFA charter in 2016.

While I enjoy my work I have always found myself drawn back towards academia. In particular, I fell in love with advanced math in college (game theory, number theory, mathematical statistics) and have since felt a desire to re-explore this. Because I get the sense that my academic background is not really top 10% I figured that I could use my work experience as a selling point to get me into a decent MFE or Math Finance program and go from there. I am not married to the idea of being at a top-branded program since I feel that my work experience will be more relevant for future employers. Nevertheless, I do want to be in a program that is well regarded and provides a solid curriculum. All of that being said, I would obviously be ok if UCB, CMU, Princeton, or Columbia would have me

Alas, my final goal is not clear at the moment but topics such as decision science, mathematical psychology, financial markets, and probability get me excited. I have never felt that I am the "quickest" thinker when it comes to math but I have always performed very well in advanced math classes that require more inductive reasoning/proofs than intuition. This makes me think that I would probably do well in an intense academic environment where advanced technical topics are taught.

Long story short: I want to study advanced math again and am passionate about finance, so an MFE seems to fit this description. If anyone has any recommendations for programs to look at or general suggestions I would greatly appreciate them!

AZ

 

[PepeQuant]

I’m confused. You are a trader and quants are your bitch and you want to switch? Why?????????

 

[Aleph_Zero]

Not sure I agree with quants being a trader's "bitch." As with any broad generalization, you need to qualify what you mean by "quant" and what you mean by "trader" (also, maybe, what you mean by "bitch"). I'm personally not aware of a general industry trend where quantitative-analysts are subservient to traders. Perhaps this was true in the pre-crisis era- I don't know I wasn't working back then. From my experience on the buy-side, and from what I see on sell-side trading desks, good firms allow for a collaborative relationship between quants and traders and much of the time the two are hard to distinguish from one another.

That being said, different sectors are going to assign a different value to quants in relation to the trading function. For example, if you are trading securitized products, quant work on simulating prepayments is going to be super critical for pricing bonds and assessing relative val. Likewise if you are doing statistical arbitrage at a prop shop or hedge fund, the trades are going to be largely quant-strategy driven. In the High Yield and Emerging Markets credit sectors, on the other hand, understanding fundamental credit, regulatory risks, and gauging market sentiment is probably going to be more valuable in driving trading decisions. (Note: I am basing all of these statements off what I've heard speaking and working with traders and portfolio managers in these sectors and not off of personal trading or management experience. If someone more knowledgable in these areas has a different view I would welcome their input).

With Treasuries and in the Investment Grade credit sector (where I work) you are seeing a lot of broker consolidation and reductions as these products -particularly on the short end - have become more commodified. Peer-to-peer platforms like Market Axess have undoubtedly helped drive this trend. You are also seeing non-bank 'brokers' such as Citadel, Jane Street, and Dimensional begin applying the strategies they've implemented in equity markets to these areas. This is all to say that the traditional trader in these sectors, while existent, has become marginalized. (This seems to be particularly true on the sell-side)

I'd be interested to hear what others have to say on this matter. How is the roll of a trader changing? How has machine learning and AI, which have transformed so many other industries, impacting finance? As I mentioned in my initial post, my interest in learning more math is for largely non-work-related reasons, but the concurrent value I am adding to my resume is certainly part of the decision.

 

[Andy Nguyen]

You can self study, do a part-time at night at a local MFE program. You sound like you want to improve yourself and do not want to be left behind since finance is getting more and more technical, high advanced math.
Basically, MFE is more or less a way for most students to get into the door. If you are interested in learning advanced topics in depth, a different master program or even a PhD is what needed.
To gauge if you are up to it, you can take a course or two, even audit it while working full-time. Then you can make a jump.

 

[Aleph_Zero]

Thanks for the advice Andy. I think I am interested in a more in-depth approach (PhD or the likes). I was thinking that an MFE program would be a good way to 1.) see if I do actually want to dedicate myself to academia and research and 2.) make myself a more competitive candidate for PhD programs. I like your idea of auditing classes, though given my location might not be as tenable