

Quant Hedge Funds 101 - redDragon
http://www.mergersandinquisitions.com/quant-hedge-funds/

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mimog
Holy crap. Renaissance Technologies gives an annual return of 35% on average.
That is quite amazing.

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theorique
They have pretty much returned all capital to external investors at his point
and operate as a prop-trading shop now. They have done _very_ well.

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Patient0
"So you think about conditions like these, determine the significance and
correlations between all of them, and then come up with an overall model that
tells you whether an asset such as a stock will increase or decrease in value"

Knowing whether the stock is likely to go up or down is dangerous without
having some model of how _much_ it will go up or down. It could have a 90%
chance of going up but with a negative expected return (because if it goes up
it will only go up slightly but if it goes down it will crash).

I wonder if this guy understands this? His "up/down" language suggests that
maybe he doesnt and his group is only making money by "picking up pennies in
front of a steamroller".

Monty Hall and the Birthday problem? Are they _still_ asking these old
hackneyed interview questions!?

As a whole everything this guy said in the interview sounds a bit naive/old-
hat. Are people really still blindly trading the correlation between MSFT and
Oil?

The whole interview reads like what a junior statistics graduate _thinks_
quant trading funds do rather than how they _actually_ make money nowadays.

It's like he hasn't even read Fooled by Randomness....

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Ntrails
Bearing in mind that none of the example models would be what actually gets
done, it was not a bad article for someone starting uni to read and get an
idea of Quant funds though?

Companies will continue to use old and well worn questions, and variations on
the themes, in order to test candidates statistical intuition. Note that the
interview questions asked for every job are just as standard and game-able.

I was surprised he didn't even mention the kinds of programming languages that
would be useful.

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ekm2
What graduate schools are they most likely to recruit from?I am trying to pick
CS phd schools right now

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001sky
_Their strategy is typically a variant of the following: “I know that somebody
else will buy X, so let’s buy X first and sell it to them at a higher price.”_

\-- zero value added, in other words.[1]

________________

[1] Front running is not the only use of statistics and quants in finance,
however.

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ljd
I don't understand, who outside of the investor is supposed to gain value from
a public trade? Aren't all public security transactions valueless outside of
the investor?

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phyalow
In theory other cash equity holders, and to a lesser extent brokers, exchanges
and potentially others in the order book...

