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I currently work for a futures market making company within the FI domain. I have been developing grey box strategies and market making algorithms. Lately I have developed a systematic strategy which is a generic mean reverting momentum strategy with individual strategies with sharpe > 5 with a combined portfolio of > 3. When I approached my director with the strategy, I was given the answer that the strategy does not fit in the risk profile of the company ( the strategy is too risky, market making generates pnl with no risk ), they would not run the strategy, and that I should concentrate on directed market making strategies which the company is comfortable with. My colleague had a similar issue with one of his strategies. He eventually left the company for another who would run the strategy and has been quite successful. My issue is this. My company is willing to pay for a part-time MFE for two years. I can either stick it out at the current employer where there is no upside for two years and little training but I get a MFE, or look for a new company with the resources and experience to run my strategy but no Masters. I am 27 years old with an engineering bachelors and have been working within the domain for three years. I see little room for growth within my current employer but could be willing to stick it out for two years whilst I study and then move on when I am 29 years old.Any suggestions? Will the Masters open more opportunities, or are day-to-day activities more highly looked upon and beneficial.

You have a generous employer willing to pay for something that is a guaranteed benefit. My advice is stick with the current program, get your MFE, build up your savings, and use your two years at schoolto network with other like-minded quants. Then, at the end of the two years, decide what to do.

hi sharpe ratios in backtested FI strategies are a dime a dozen. it's easy to generate fantastic backtests especially with grey/black box strategies. it's much harder to find a client willing to invest in it because backtests does not necessary guarantee future performance. many clients have been burned before (remember subprime CDSes?). Stick to your job, young man.