Fixed income quant funds?

Hello fellow apes!

I recently read on the FT ( that the bond market is becoming increasingly electronified, allowing for systematic trading strategies. 

Are there any good quant funds (or start-ups) that are specialising in this?

In your opinon, would you say large-scale quant strategies for bond trading will become viable within the next couple of years, or is the bond market too fractured and complicated?

Happy New Year!

Comments (10)

Most Helpful
Jan 5, 2022 - 7:22pm

Blackrock is surprisingly one of the top players in this space. They have a >$5B quant FI HF that's been around for quite some time now.  Look them up on HFR if you have access.

If you do some snooping on LinkedIn, you'll see many people who used to work there are now leading quant FI at AQR, Citadel, P72/Cubist, and Bluecove.

Jan 6, 2022 - 12:23pm

That's some very, very interesting stuff indeed. Is AQR any good? I thought they were mostly a dinosaur now. And what about this Bluecove? Who are they? I don't have access to HFR you see, that's why I'm asking...

Do you think this segment will expand in the following years? It'd be pretty sick if the regulators/exchanges/trading-firms managed to somehow consolidate the fixed income market and electronify it, opening the door for quant trading strategies. But I'm not sure how realistic this is...

Jan 6, 2022 - 7:39pm

AQR had a pretty sizable quant FI/credit business led by a ex-Blackrock guy, but they shut that down recently. Not exactly sure why, but probably related to the poor performance of the overall firm.

BlueCove is a relatively new shop in this space and most of the team was lifted out of Blackrock. Firm was funded by BlueBay's founder, hence the name. Their flagship HF has had mixed performance from what I can see (strong 2020 and negative 2021).

It's definitely a growing space and e-trading is starting to take off, but there's still ways to go given resistance from the sell-side.

  • Works at Citadel Investment Group
Jan 7, 2022 - 5:36pm

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