"A wise American hedge fund manager once said..." | quant trading clips
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How China's regulators changed the horizon for quant trading.
Shengheng Investment's founder Cai Junfu, ex-GETCO trader:
"I think that's the goal for the regulator."
"They have a combination of, I would say commitments from their side to increase the fees, to slow down trading by moving the co-locations and matching engines. The overall effect is so that those ultra high-frequency trading firms will have less of an edge over the rest of the players."
"So you cannot just forecast what happens in one second from now. Maybe you have to forecast one minute or 10 minutes from now."
WorldQuant's founder Igor Tulchinsky on how WorldQuant hires:
"Talent is equally distributed around the world, opportunities not."
"We initially started going out to countries where people weren't typically looking for talent for hedge funds."
"Different regions tend to think differently also, and there's value in that."
"We look for people who have accomplished things, maybe won Math Olympias or otherwise demonstrated ability. Then we put them through many, many tests."
"Candidates can be green in the area of finance, but cannot be green in the area of quantitative sciences because those take a pretty long time to develop."
Databento CEO Christina Qi (@christinaqi) on what actually worked when she raised money for her HFT fund, Domeyard:
"At first, we thought if we said like, oh, we're smart, MIT founders, that it would work. It turns out it didn't because everyone from our school is a smart MIT founder."
"The HFT angle really worked well for us because at the time there really wasn't a lot of new kind of HFT funds launching."
"Your goal for launching your hedge fund on day one is not to make a billion dollars. Your goal is to establish a track record."
"Your goal is to literally get your track record, get up and running so that you can raise your day two money."
Former Citadel, Millennium and HRT quant Giuseppe Paleologo on whether the most successful trader at Citadel just gets more capital:
"You do get more capital up to a point."
"There is like a natural limit where somebody can be too successful."
"Think of pods as stocks. You don't want to have 90% of your savings in Nvidia."
"There is just a natural limit to growth for strategies."
"Your P&L in the absence of costs goes more or less linearly, but your costs grow faster than linearly. So, there is a point where you just don't want to grow."
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Research Affiliates co-founder Jason Hsu on why active managers find more alpha in China than in the US:
"85% of that market's trading activities are conducted by retail individuals."
"If you are a professional money manager, you have access to information, you can analyze it correctly, you're going to make the right decision, because the other side of your trade is constantly making the wrong decision."
"You don't want to compete against people who are as good as you are."
"Active managers are really skilled in the US, except they compete against each other so no one has an edge."
"There's a lot of alpha reservoir. Uninformed individuals supplying alpha."
Why would a quant fund publish how it invests?
AQR co-founder John Liew:
"Three of the four co-founders of AQR, we originally met as PhD students, and we were all getting our PhDs in finance at the University of Chicago."
"So in some sense, we grew up in a culture where if you had good ideas, you would write about them."
"The nature of the work that we do is, we're trading very liquid markets and we're not trading very high turnover strategies. So, they're not as sensitive to other people knowing about it."
"We've contributed a lot of the work that we do into the academic literature, you know, and I think we've benefited in a lot of ways from sharing it publicly."
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The 2007 loss that gave Graham Capital a risk meeting every single trading day.
Graham Capital Management's founder and chairman Ken Tropin:
"We had a mortgage-backed securities trading team, and the marks that we had on our books from the dealers were not the marks that you could sell the bonds back at."
"I realized at that time that there were stresses in the market that weren't showing up in your marks. And we had to work very hard to get rid of that portfolio and shut it down."
"But it was a catalyst for us to start holding daily risk meetings at 930 every day at Graham."
"We've had meetings every day that the markets are open since then."
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Winton's founder David Harding on why he stopped relying on trend following:
"If you don't change, if you don't innovate, then what you do will become less profitable."
"I've been lowering my forecast for the success of trend following year by year for years and years."
"I still believe that trend follow will make money in the future."
"It's just that you can't rely on it."
"It was a fantastic workhorse, but there's too much money in it and too much competition now, and those who don't innovate are doomed to die."
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Jane Street on GPUs versus hiring:
"The research is incredibly valuable. The researchers are incredibly valuable. This is a good argument for buying more compute."
"These days we are in something like the range of tens of thousands of GPUs, and we will in not too long be in the range of hundreds of thousands of GPUs."
"These are clearly good investments."
"The biggest impediment to growth is that it takes time to really train people and absorb them into the culture."
"The real limiting factors are finding great people and having the mentorship capacity for them."
