Dear Hiring Manager,

As a quantitative finance student with a passion for financial markets, I’m deeply excited to
apply for the Fundamental Fixed Income Associate position with BlackRock. I have a strong
background in quantitative investing and strategy backtesting. In late December of 2020, I
helped a former Citigroup Inc. trader enhance his Sharpe ratio by determining the primary
single-stock drivers of one of his statistical arbitrage strategies. This required building a
framework in Python that iterated over dozens of securities, measured the degree and stability
of the anomaly in each one, and aggregated the results. I also added a customizable slippage
parameter to measure the strategy’s sensitivity to suboptimal fills.

Under the guidance of Dr. Russell Wermers, I performed a cross-sectional, multivariate

regression on post-2000 equity returns to estimate the return premia of various factors, like size,
value and momentum, using Python. The results indicated that exposure to the value factor
offered one of the strongest return premia. In my spare time, I run statistical ​studies​ that test
timing signals​ and ​predictive relationships​ in markets.

During a course on natural language processing, I analyzed European Central Bank speeches
from 2011 to 2020 to study the relationship between topic frequencies and future volatility in
forex markets. In the preprocessing stage, I normalized the text using Porter stemming and
lemmatization. Later, I used Scikit-learn’s CountVectorizer to create a document-term matrix.
Overall, I found that the frequency of certain terms, like “crisis” and “instability,” were correlated
with future volatility in EURUSD. I also used a naive Bayes classifier to identify whether a given
sentence was likely to have a positive or negative market reaction. That model had a
respectable weighted F1-score of around 0.7.

Several projects have exposed me to the power and limitations of machine learning models.
While studying econometrics, my team and I attempted to use a random forest classifier to
forecast equity returns based on economic variables and fundamental factors. After training the
model using Scikit-learn, its out-of-sample performance was poor despite our efforts to carefully
select variables using best subset and forward stepwise feature selection. However, in an
independent project, I was able to train a random forest classifier to identify attractive buy points
in XLE, an energy sector ETF, by feeding it custom price-based indicators and calculating their
quantiles.

I’m thrilled at the opportunity to apply my passion and expertise to help BlackRock generate
alpha for investors. Thank you for considering my application.

Sincerely,

Mitchell Rosenthal